ISDA-Clarus RFR Adoption Indicator: July 2022

The ISDA-Clarus RFR Adoption Indicator was 46.4% in July 2022, flat compared to 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 39.0% of total IRD in July compared to 39.8% the prior month.

Key highlights for July 2022 include:

  • RFR-linked IRD DV01 decreased to $13.7 billion from $18.0 billion the prior month.
  • Total IRD DV01 declined to $29.5 billion from $38.8 billion the prior month.
  • RFR-linked IRD traded notional decreased to $67.3 trillion from $86.5 trillion the prior month.
  • Total IRD traded notional declined to $172.8 trillion compared to $217.4 trillion the prior month.
  • The percentage of trading activity in SOFR increased to an all-time high of 51.7% of total USD IRD DV01 transacted in July compared to 49.7% the prior month.
  • GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 99.7% 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: July 2022

ISDA AGM Studio: Jacques Vigner, BNP Paribas

Jacques Vigner, ISDA board member and chief strategic oversight officer for global markets at BNP Paribas, speaks with Mark Gheerbrant, global head of risk and capital at ISDA, on the key obstacles to a consistent, risk-appropriate capital framework and how to...

ISDA AGM Studio: Future Leaders in Derivatives

Following publication of the latest whitepaper from the ISDA Future Leaders in Derivatives (IFLD) program, Collateral and Liquidity Efficiency in the Derivatives Market: Navigating Risk in a Fragile Ecosystem, Joel Clark talks to IFLD participants Koen Ottenheijm, senior treasury and...