ISDA-Clarus RFR Adoption Indicator: January 2023

The ISDA-Clarus RFR Adoption Indicator declined to 51.1% in January 2023 compared to 54.3% in December 2022. 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 fell to 48.5% of total IRD transacted in January 2023 compared to 50.1% the prior month. While total IRD trading activity increased in January 2023, trading in legacy rates grew more than trading in RFRs, resulting in a lower percentage of RFR-linked transactions.

Key highlights for January 2023 include:

  • RFR-linked IRD DV01 increased to $18.1 billion from $14.4 billion the prior month.
  • Total IRD DV01 grew to $35.5 billion compared to $26.5 billion the prior month.
  • RFR-linked IRD traded notional rose to $98.1 trillion from $73.6 trillion the prior month.
  • Total IRD traded notional increased to $202.5 trillion compared to $147.0 trillion the prior month.
  • The percentage of trading activity in SOFR declined to 58.5% of total USD IRD DV01 in January 2023 compared to 64.1% the prior month.
  • CHF, GBP and JPY accounted for 100% of total CHF IRD DV01, 99.8% of total GBP IRD DV01 and 98.0% 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.

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: January 2023

ISDA Response to EC on Environmental Legislation

On September 10, ISDA, the Association for Financial Markets in Europe (AFME) and the European Fund and Asset Management Association (EFAMA) submitted a joint response to the European Commission’s (EC) call for evidence on reducing the administrative burden in environmental...

Credit Derivatives Trading Activity Q2 2025

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...

Recognition of Cross-product Netting is Critical

US regulators are in the process of making important changes to the regulatory capital framework by proposing modifications to the enhanced supplementary leverage ratio, which should help stop it from acting as a non-risk-sensitive constraint on bank capacity – a...