RFR Adoption Steadies in September
Posted by Colin Lambert. Last updated: October 13, 2022
After a long run in which the level of adoption of Risk-Free Rates (RFRs) hit successive new peaks, September saw a small decline in the rate.
The latest ISDA-Clarus RFR Adoption indicator is 51%, slightly lower than August’s 51.1%, the first decline since Q1 2021. 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.
On a traded notional basis, the percentage of RFR-linked IRD increased to 44.9% of total IRD transacted in September 2022 compared to 44.0% the prior month, with RFR-linked IRD DV01 increasing to $19.2 billion from $16.2 billion. Total IRD DV01 increased to $37.7 billion from $31.8 billion.
RFR-linked IRD traded notional increased to $102.2 trillion from $81.2 trillion in August, with total traded notional increasing to $227.9 trillion compared to $184.3 trillion.
The percentage of trading activity in SOFR accounted for 56.6% of total USD IRD DV01 in September 2022 compared to 57.2%, while GBP saw the largest percentage of RFR-linked IRD trading activity, totalling 99.7% of total GBP IRD DV01. JPY had the highest percentage of RFR-linked IRD DV01 executed as transactions with tenors longer than two years.