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
Latest
Refreshing the FX Definitions
A lot has changed in the FX derivatives market since 1998, when the last set of standard definitions for FX transactions were published. Trading volumes have grown substantially, and average daily turnover has risen by six times. Market practices have...
ISDA & EMTA Publish New FX Definitions
ISDA and EMTA, Inc., the trade association for emerging markets, have jointly published a revised set of standard definitions for foreign exchange (FX) derivatives transactions, which update key market practices and consolidate various FX and FX-related product templates and provisions...
ISDA Position Paper on SFDR Review
On February 27, ISDA and the Association for Financial Markets in Europe (AFME) published a position paper on the European Commission’s (EC) proposed revisions to the Sustainable Finance Disclosure Regulation (SFDR 2.0). The paper welcomes the EC’s proposal as a...
ISDA Response to HKMA SFC Consultation on Clearing Rules
On February 27, ISDA responded to a joint consultation by the Hong Kong Monetary Authority (HKMA) and the Securities Futures Commission (SFC) on proposed amendments to schedule 2 of the clearing rules for over-the-counter (OTC) derivatives. The proposed amendments introduce...
