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

ISDA Response on Clearing Costs

On September 8, ISDA responded to consultation by the European Securities and Markets Authority (ESMA) on a draft regulatory technical standard on clearing fees and associated costs (article 7c(4) of the European Market Infrastructure Regulation (EMIR)). In the response, ISDA...

ISDA Response on Margin Transparency

On September 8, ISDA responded to a consultation by the European Securities and Markets Authority (ESMA) on a draft regulatory technical standard under the European Market Infrastructure Regulation (EMIR 3.0) on margin transparency requirements. ISDA’s members are supportive of margin...

Paper on Liquidity Assessment for Single-name CDS

On September 5, ISDA submitted a paper to the European Securities and Markets Authority (ESMA) and the European Commission in support of its earlier response to ESMA’s Markets in Financial Instruments Regulation (MIFIR) review consultation package 4 (CP4) on transparency...

Response to EC on Delegated Regulation

On September 4, ISDA responded to the European Commission’s (EC) consultation on amendments to delegated regulation (EU) 2017.567. The key area of interest for ISDA was the proposed insertion of a new article 16a that establishes what constitutes a post-trade...