May 9, 2022
The ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 43.8% in April 2022 compared to 40.5% 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 35.9% of total IRD in April compared to 31.9% the prior month.
Key highlights for April 2022 include:
- RFR-linked IRD DV01 decreased to $13.2 billion from $18.2 billion the prior month.
- Total IRD DV01 transacted declined to $30.2 billion from $45.0 billion the prior month.
- RFR-linked IRD traded notional decreased to $57.9 trillion from $78.2 trillion the prior month.
- Total IRD traded notional transacted decreased to $161.0 trillion compared to $245.0 trillion the prior month.
- The percentage of trading activity in SOFR reached 47.0% of total USD IRD DV01 transacted in April compared to 41.1% 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.
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