ISDA-Clarus RFR Adoption Indicator: June 2022

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

ISDA AGM Studio: Sid Nadella, Google Cloud

Sid Nadella, director and global head of capital markets solutions at Google Cloud, speaks to Joel Clark, ISDA’s senior director of communications, on the extent artificial intelligence is being used by financial institutions and the biggest risks and challenges of...

ISDA Response to CFTC on 24/7 Trading

On May 21, ISDA, the Securities Industry and Financial Markets Association (SIFMA) and its asset management group (SIFMA AMG) submitted a joint response to the US Commodity Futures Trading Commission’s (CFTC) request for comment on 24/7 trading and clearing. The...