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