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