The ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 46.4% in June 2022 compared to 46.0% 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 39.8% of total IRD in June compared to 38.6% the prior month.
Key highlights for June 2022 include:
- RFR-linked IRD DV01 increased to $18.0 billion from $15.1 billion the prior month.
- Total IRD DV01 transacted increased to $38.8 billion from $32.9 billion the prior month.
- RFR-linked IRD traded notional increased to $86.5 trillion from $65.9 trillion the prior month.
- Total IRD traded notional transacted increased to $217.4 trillion compared to $170.6 trillion the prior month.
- The percentage of trading activity in SOFR slightly declined to 49.7% of total USD IRD DV01 transacted in June compared to 50.1% 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: June 2022
Latest
The CPI Quandary
The recent US government shutdown didn’t just create weeks of political drama – it also left inflation-linked swaps dealers with a major headache: how should they determine an initial value for new trades given the US Bureau of Labor Statistics...
ISDA Response to HMT, BoE on UK CCPs
On November 18, ISDA submitted its responses to the Bank of England (BoE) consultation on ensuring the resilience of central counterparties (CCPs) and the UK Treasury’s (HMT) two draft CCP statutory instruments (SIs). These consultations form part of the update...
Doubling Down on Appropriate Trading Book Capital
Throughout ISDA’s 40th anniversary year, we’ve been reflecting on the quest for greater consistency and efficiency that underpins everything we’ve achieved since 1985. It was at the heart of the original efforts to bring greater standardization to the nascent derivatives...
Determining Initial Reference Index for New Trades
On November 25, 2025, ISDA published a Market Practice Note (MPN) to recommend a specific methodology that market participants could elect to use for the purposes of determining the Initial Reference Index for certain new inflation derivative transactions given that...