ISDA-Clarus RFR Adoption Indicator: September 2022

The ISDA-Clarus RFR Adoption Indicator was 51.0% in September 2022 compared to 51.1% 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 increased to 44.9% of total IRD transacted in September 2022 compared to 44.0% the prior month.

Key highlights for September 2022 include:

  • RFR-linked IRD DV01 increased to $19.2 billion from $16.2 billion the prior month.
  • Total IRD DV01 increased to $37.7 billion from $31.8 billion the prior month.
  • RFR-linked IRD traded notional increased to $102.2 trillion from $81.2 trillion the prior month.
  • Total IRD traded notional increased to $227.9 trillion compared to $184.3 trillion the prior month.
  • The percentage of trading activity in SOFR accounted for 56.6% of total USD IRD DV01 in September 2022 compared to 57.2% 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: September 2022

ISDA AGM Studio: Doug Donahue and Oliver Maxwell

Just a small delay in the delivery and receipt of a termination notice can have significant economic consequences for derivatives counterparties. Doug Donahue, partner at Linklaters, and Oliver Maxwell, product management director, platforms and regulatory compliance at S&P Global Market...

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...