The latest on RFR Adoption

  • The ISDA-Clarus RFR Adoption Indicator recorded another all-time high of 46.4% in June 2022.
  • SOFR adoption was at 49.7% of the market.
  • 23.8% of EUR risk traded versus €STR, a new all time high.
  • June 2022 saw the largest notional ever traded in RFRs, at $86.5Trn.

The ISDA-Clarus RFR Adoption Indicator for June 2022 has now been published.

Showing;

  1. SOFR adoption slipped very slightly to 49.7%.
  2. GBP and CHF continue to see nearly 100% of risk traded as RFRs.
  3. 23.8% of EUR risk was versus €STR, a new all-time high.
  4. June 2022 saw the largest notional ever traded in RFRs, at $86.5Trn.
  5. June 2022 saw the second largest amount of RFR risk ever traded at $18bn in DV01, second only to March.

Let´s look at the charts behind each of those 5 points:

1. SOFR Adoption

SOFR has continued at about 50% of the market, with a small slip last month. That is the first decline we have seen in SOFR adoption since June 2021!

2. GBP and CHF

As we showed last month, we don’t expect any changes here. You can probably add JPY into that mix as well, as little trading appears to be happening in TIBOR.

3. EUR €STR Adoption

The EUR market is heating up to be the most interesting aspect of RFR adoption for the remaining six months of the year. Can it break above 30-40% this year? What do our readers think? What about €STR futures?

4. Largest ever RFR Notionals

Trading activity across the whole of the Rates market picked up in June after a couple of quiet months. This means that we saw the largest amount of notional ever traded versus RFRs last month. Quite an achievement!

5. A large amount of Risk

The total DV01 traded in RFRs was not quite a record – that still belongs to March 2022. Coupled with the large notional trading, this suggests that more short-end risk was transacted in June compared to March. Interesting and likely a sign of general market repositioning rather than anything RFR-specific.

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