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
Latest
Transition to Mandatory Central Clearing
US Treasury securities sit at the heart of global financial markets and serve as one of the primary forms of high-quality collateral across derivatives and securities financing markets. The transition to mandatory central clearing of US Treasuries therefore has implications...
ISDA Publishes Updated ISDA SIMM Governance
ISDA has published an updated version of the ISDA SIMM® Governance Framework, which sets out the principles under which the ISDA Standard Initial Margin Model® operates and the process through which it will be reviewed and amended on a consistent...
ISDA Response to PRA IMA Consultation
On September 18, ISDA, the Association for Financial Markets in Europe, the Institute of International Finance and UK Finance submitted a joint response to the UK Prudential Regulation Authority consultation on adjustments to the internal model approach (IMA) for the...
Calibration Test – IQ September 2026
Calibrating capital requirements is a highly complex undertaking and getting it wrong can have serious consequences. Too much lenience might lead to banks holding insufficient capital to mitigate their risks. But excess conservatism can put balance sheets under strain, forcing...