The ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 40.5% in March 2022 compared to 36.4% 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 31.9% of total IRD in March compared to 27.0% the prior month.
Key highlights for March 2022 include:
- RFR-linked IRD DV01 increased to $18.2 billion from $14.7 billion the prior month.
- Total IRD DV01 transacted increased to $45.0 billion from $40.3 billion the prior month.
- RFR-linked IRD traded notional jumped to $78.2 trillion from $62.1 trillion the prior month.
- Total IRD traded notional transacted increased to $245.0 trillion compared to $229.5 trillion the prior month.
- The percentage of trading activity in SOFR reached 41.1% of total USD IRD DV01 transacted in March compared to 33.4% the prior month.
- GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 99.8% 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.
Source: ISDA
