January 12, 2022

The ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 31.7% in December compared to 26.3% 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 20.8% of total IRD in December compared to 17.7% the prior month.

Key highlights for December 2021 include:

  • RFR-linked IRD DV01 decreased to $8.5 billion from $9.0 billion the prior month.
  • Total IRD DV01 transacted decreased to $26.7 billion from $34.4 billion the prior month.
  • RFR-linked IRD traded notional decreased to $25.2 trillion from $29.7 trillion the prior month.
  • Total IRD traded notional transacted decreased to $121.1 trillion from $168.0 trillion the prior month.
  • The percentage of trading activity in SOFR reached 25.3% of total USD IRD DV01 transacted in December compared to 19.2% the prior month.
  • JPY saw the largest percentage of RFR-linked IRD trading activity, totaling 88.5% of total JPY 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, clickhere.

A whitepaper on the methodology is available here.

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Disclaimer

ISDA – International Swaps and Derivatives Association Inc. published this content on 12 January 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 12 January 2022 13:55:06 UTC.