ISDA-Clarus RFR Adoption Indicator: May 2022

The ISDA-Clarus RFR Adoption Indicator increased to an all-time high of  46.0% in May 2022 compared to 43.8% the prior month. The indicator tracks how much global trading activity (as measured by DV01) is conducted in cleared over-the-counter and exchange-traded interest rate derivatives (IRD) that reference the identified risk-free rates (RFRs) in six major currencies. On a traded notional basis, the percentage of RFR-linked IRD comprised 38.6% of total IRD in May compared to 35.9% the prior month.

Key highlights for May 2022 include:

  • RFR-linked IRD DV01 increased to $15.1 billion from $13.3 billion the prior month.
  • Total IRD DV01 transacted increased to $32.9 billion from $30.3 billion the prior month.
  • RFR-linked IRD traded notional increased to $65.9 trillion from $57.9 trillion the prior month.
  • Total IRD traded notional transacted increased to $170.6 trillion compared to $161.0 trillion the prior month.
  • The percentage of trading activity in SOFR reached 50.1% of total USD IRD DV01 transacted in May compared to 47.0% the prior month.
  • GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 99.8% of total GBP IRD DV01.
  • JPY had the highest percentage of RFR-linked IRD DV01 executed as transactions with tenors longer than two years.

To access interactive charts and export the data, click here.

A whitepaper on the methodology is available here.

Documents (1) for ISDA-Clarus RFR Adoption Indicator: May 2022

DRR Expanded to Cover Hong Kong's Revised Rules

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Joint Letter on Simplification of EU Taxonomy

On October 6, ISDA, the Association for Financial Markets in Europe (AFME), the European Fund and Asset Management Association (EFAMA), the European Association of Co-operative Banks (EACB) and the European Banking Federation (EBF) published a policy statement in support of...

Paper on Removal of SI Regime

On October 10, ISDA, the Association for Financial Markets in Europe (AFME) and the International Capital Market Association (ICMA) published a paper on the practical implications of the recent discontinuation of the systematic internalizer (SI) regime for derivatives, bonds and...