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

Launch of ISDA Notices Hub and Protocol

ISDA has launched the ISDA Notices Hub and the ISDA 2025 Notices Hub Protocol, giving users a faster and more efficient method for delivering critical notices and reducing the uncertainty and risk of losses that can result from delays. The...

ISDA response to ESMA MiFIR Review Consultation

On July 11, ISDA submitted a response to the European Securities and Markets Authority's (ESMA) fourth package of Level 2 consultation under the Markets in Financial Instruments Regulation Review (MiFIR), on transparency for derivatives, package orders and input/output data for...