ISDA-Clarus RFR Adoption Indicator: February 2022

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

Response on Commodity Derivatives Markets

On April 22, ISDA and FIA submitted a joint response to the European Commission’s (EC) consultation on the functioning of commodity derivatives markets and certain aspects relating to spot energy markets. In addition to questions on position management, reporting and...

Episode 50: The Value of Derivatives

A new report from ISDA shows that companies all over the world use derivatives to alleviate uncertainty, transfer risk and enhance profitability. ISDA discusses the findings with Boston Consulting Group’s Roy Choudhury. Please view this page via Chrome to access...

ISDA/IIF Response to EC Market Risk Consultation

On February 22, ISDA and the Institute of International Finance (IIF) submitted a joint response to the European Commission’s (EC) consultation on the application of the market risk prudential framework. The associations believe the capital framework should be risk-appropriate and...

ISDA Submits Letter on Environmental Credits

On April 15, ISDA submitted a response to the Financial Accounting Standards Board’s (FASB) consultation on environmental credits and environmental credit obligations. The response supports the FASB’s overall proposals to establish clear and consistent accounting guidance for environmental credits, but...