The ISDA-Clarus RFR Adoption Indicator increased to 52.9% in February 2023 compared to 51.0% in January 2023. 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 eight major currencies. On a traded notional basis, the percentage of RFR-linked IRD increased to 49.1% of total IRD transacted in February 2023 compared to 48.3% the prior month.
The indicator has been updated to include the Canadian Overnight Repo Rate Average (CORRA) and the Singapore Overnight Rate Average (SORA). All historical data has been restated to reflect the additional RFRs.
Key highlights for February 2023 include:
RFR-linked IRD DV01 increased to $22.6 billion from $18.4 billion the prior month.
Total IRD DV01 increased to $42.8 billion compared to $36.1 billion the prior month.
RFR-linked IRD traded notional increased to $125.5 trillion from $99.3 trillion the prior month.
Total IRD traded notional increased to $255.4 trillion compared to $205.6 trillion the prior month.
The percentage of trading activity in SOFR increased to 59.1% of total USD IRD DV01 in February 2023 compared to 58.5% the prior month.
CHF, GBP and SGD accounted for 100% of total CHF IRD DV01, 99.8% of total GBP IRD DV01 and 97.8% of total SGD IRD DV01, respectively.
JPY had the highest percentage of RFR-linked IRD DV01 executed as transactions with tenors longer than two years.
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A whitepaper on the methodology is available here.