RFR Adoption Hits New High
Posted by Colin Lambert. Last updated: July 14, 2022
The shift from Ibors to risk-free rates (RFR) as key financial benchmarks continues apace with the latest ISDA-Clarus RFR Adoption Indicator hitting a new high of 46.4% in June.
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 RFRs in six major currencies.
In May the adoption rate was 46%, while on a traded notional basis, the percentage of RFR-linked IRD comprised 39.8% of total IRD in June compared to 38.6% the prior month.
RFR-linked IRD DV01 increased to $18.0 billion from $15.1 billion in May, while total IRD DV01 transacted increased to $38.8 billion from $32.9 billion.
RFR-linked IRD traded notional increased to $86.5 trillion from $65.9 trillion, and total IRD traded notional transacted increased to $217.4 trillion compared to $170.6 trillion.
The percentage of trading activity in SOFR slightly declined to 49.7% of total USD IRD DV01 transacted in June compared to 50.1% in May, while GBP saw the largest percentage of RFR-linked IRD trading activity, totalling 99.8% of total GBP IRD DV01 and JPY had the highest percentage of RFR-linked IRD DV01 executed as transactions with tenors longer than two years.