The ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 36.3% in February compared to 31.9% 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 27.0% of total IRD in February compared to 22.6% the prior month.
Key highlights for February 2022 include:
- RFR-linked IRD DV01 increased to $14.6 billion from $11.4 billion the prior month.
- Total IRD DV01 transacted increased to $40.3 billion from $35.5 billion the prior month.
- RFR-linked IRD traded notional jumped to $61.9 trillion from $42.8 trillion the prior month.
- Total IRD traded notional transacted increased to $229.3 trillion compared to $188.8 trillion the prior month.
- The percentage of trading activity in SOFR reached 33.4% of total USD IRD DV01 transacted in February compared to 28.4% the prior month.
- CHF saw the largest percentage of RFR-linked IRD trading activity, totaling 99.7% of total CHF 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: February 2022
Latest
Response to EC Consultation on Carbon Price
On June 10, ISDA responded to the European Commission’s (EC) consultation on the calculation of the carbon price paid in a third country under Article 9 of the Carbon Border Adjustment Mechanism (CBAM). ISDA supports the EC’s proposal that evidence...
Response to CFTC on Clearing Requirements
On June 11, ISDA responded to the US Commodity Futures Trading Commission’s notice of proposed rulemaking on the clearing requirement determination under Section 2(h) of the Commodity Exchange Act for interest rate swaps to account for Canadian dollar-denominated and Mexican...
Digital Assets and Derivatives: Where Next?
Digital assets are moving into a phase of institutional integration into derivatives markets. Trading venues, custodial infrastructures and tokenization platforms now exist across both traditional financial markets and public blockchain networks. While this diversity has accelerated innovation and liquidity formation,...
ISDA Publishes ISDA SIMM® Methodology, Version 2.8+2512
Following the 2026 primary calibration exercise, ISDA is pleased to publish SIMM® version 2.8+2512. This version of the ISDA SIMM has updates that are based on the full recalibration of the model using historical data up to 31 December 2025....