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

Joint Paper on UK EMIR Reform

On July 1, ISDA and UK Finance published a paper, which recommended a set of reforms for the UK European Market Infrastructure Regulation (UK EMIR), carefully considering each EU EMIR 3.0 reform and asking whether we would wish to adopt...

Response to FCA on UK EMIR Reporting

On June 30, ISDA submitted a response to chapter 5 of the UK Financial Conduct Authority’s (FCA) quarterly consultation CP25/16 on trade repository reporting requirements under the UK European Market Infrastructure Regulation (UK EMIR). Chapter 5 proposes ‘Amendments to the...

CDS Trading Activity in EU, UK and US Markets

This report analyzes credit derivatives trading activity reported in Europe. The analysis shows European credit derivatives transactions based on the location of reporting venues (EU versus UK) and product type. The report also compares European-reported credit derivatives trading activity to...