RFR Adoption Continues Apace
Posted by Colin Lambert. Last updated: March 14, 2022
The latest 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 OTC 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. RFR-linked IRD DV01 increased to $14.6 billion from $11.4 billion in January, while total IRD DV01 transacted increased to $40.3 billion from $35.5 billion and RFR-linked IRD traded notional jumped to $61.9 trillion from $42.8 trillion. On a monthly basis, total IRD traded notional transacted increased to $229.3 trillion compared to $188.8 trillion.
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, while CHF saw the largest percentage of RFR-linked IRD trading activity, totalling 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.