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

Paper on Proposal 6 on Margin Transparency

On November 16, ISDA published a document that looked at proposal 6 in the final Basel Committee on Banking Supervision (BCBS), Committee on Payments and Market Infrastructures (CPMI) and International Organization of Securities Commissions (IOSCO) report on margin transparency. Proposal...

Tender Issued for DC Administrator Role

ISDA and the Credit Derivatives Governance Committee have issued an invitation to tender for an independent regulated entity to serve as the administrator for the Credit Derivatives Determinations Committees (DCs), which includes assuming the role of DC secretary. The DC...

ISDA SIMM: The Standard for IM Calculations

The ISDA Standard Initial Margin Model (ISDA SIMM) plays an important role in ensuring margin calculations are consistent, transparent and aligned with global best practices and regulatory requirements. Since its launch in 2016, the model has been rigorously tested, regularly...