ISDA-Clarus RFR Adoption Indicator: November 2022

The ISDA-Clarus RFR Adoption Indicator increased to 51.4% in November 2022 compared to 51.3% 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 increased to 48.3% of total IRD transacted in November 2022 compared to 45.4% the prior month.

Key highlights for November 2022 include:

  • RFR-linked IRD DV01 grew to $15.9 billion from $15.7 billion the prior month.
  • Total IRD DV01 increased to $31.0 billion from $30.7 billion the prior month.
  • RFR-linked IRD traded notional rose to $87.8 trillion from $79.7 trillion the prior month.
  • Total IRD traded notional increased to $181.7 trillion compared to $175.6 trillion the prior month.
  • The percentage of trading activity in SOFR increased to an all-time high of 58.3% of total USD IRD DV01 in November 2022 compared to 58.1% the prior month.
  • CHF and GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 100% of total CHF IRD DV01 and 99.9% of total GBP IRD DV01, respectively.
  • 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, click here.

A whitepaper on the methodology is available here.

Documents (1) for ISDA-Clarus RFR Adoption Indicator: November 2022

Response on CCP Participation Requirements

On December 24, ISDA responded to a consultation from the European Securities and Markets Authority (ESMA) on central counterparty (CCP) participation requirements. Participation requirements for CCPs are vital for safe and efficient clearing markets, and ISDA broadly supports ESMA’s consultation...