ISDA-Clarus RFR Adoption Indicator: December 2022

The ISDA-Clarus RFR Adoption Indicator increased to 54.3% in December 2022 compared to 50.8% 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 50.1% of total IRD transacted in December 2022 compared to 47.9% the prior month.

Key highlights for December 2022 include:

  • RFR-linked IRD DV01 declined to $14.4 billion from $15.9 billion the prior month.
  • Total IRD DV01 decreased to $26.5 billion from $31.4 billion the prior month.
  • RFR-linked IRD traded notional declined to $73.6 trillion from $87.8 trillion the prior month.
  • Total IRD traded notional decreased to $147.0 trillion compared to $183.5 trillion the prior month.
  • The percentage of trading activity in SOFR increased to an all-time high of 64.1% of total USD IRD DV01 in December 2022 compared to 58.3% the prior month.
  • CHF, GBP and JPY accounted for 100% of total CHF IRD DV01, 99.5% of total GBP IRD DV01 and 97.8% of total JPY IRD DV01, respectively.
  • JPY had the highest percentage of RFR-linked IRD DV01 executed as transactions with tenors longer than two years.

*November data has been restated, resulting in slightly different numbers from what was previously reported.

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: December 2022

ISDA AGM Studio: José Manuel Campa, EBA

José Manuel Campa, chairperson of the European Banking Authority, speaks to Mark Gheerbrant, ISDA’s global head of risk and capital, about concerns over differences in timing and content of the Basel III reforms across jurisdictions and what can be done...

ISDA AGM Studio: Doug Donahue and Oliver Maxwell

Just a small delay in the delivery and receipt of a termination notice can have significant economic consequences for derivatives counterparties. Doug Donahue, partner at Linklaters, and Oliver Maxwell, product management director, platforms and regulatory compliance at S&P Global Market...