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, clickhere.
A whitepaper on the methodology is available here.