The ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 56.6% in March 2023 compared to 52.9% in February 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 rose to 52.3% of total IRD transacted in March 2023 compared to 49.1% the prior month.
Key highlights for March 2023 include:
- RFR-linked IRD DV01 increased to $33.8 billion from $22.6 billion the prior month.
- Total IRD DV01 rose to $59.8 billion compared to $42.8 billion the prior month.
- RFR-linked IRD traded notional increased to $200.4 trillion from $125.5 trillion the prior month.
- Total IRD traded notional increased to $383.6 trillion compared to $255.4 trillion the prior month.
- The percentage of trading activity in SOFR rose to 61.5% of total USD IRD DV01 in March 2023 compared to 59.1% the prior month.
- CHF, GBP and JPY RFR-linked IRD DV01 accounted for 100% of total CHF IRD DV01, 99.9% of total GBP IRD DV01 and 98.5% 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: March 2023
Latest
Expanding the Universe of Eligible VM
ISDA conducted a series of interviews with buy- and sell-side firms to understand the drivers of a growing use of non-cash assets as variation margin (VM) for non-cleared over-the-counter (OTC) derivatives and the barriers that remain to expanding the use...
ISDA Response on Hedge Accounting Guidance
On August 14, ISDA responded to an exposure draft from the Financial Accounting Standards Board (FASB). ISDA broadly supports the FASB’s proposed targeted improvements to hedge accounting, including allowing interest rate hedging of held-to-maturity (HTM) debt securities, recognizing all Secured...
Joint Response to EBA Consultation
On August 12, ISDA and the Association for Financial Markets in Europe (AFME) responded to the European Banking Authority’s discussion paper on certain taxonomy key performance indicators (KPIs) and other aspects of the Disclosures Delegated Act under Article 8 of...
Response to JSCC on Clearing Fund Consolidation
On August 12, ISDA responded to the Japan Securities Clearing Corporation’s (JSCC) consultation on its proposal to consolidate clearing fund consumption, calculation and deposit segmentation across six clearing qualifications under the Financial Instruments and Exchange Act. ISDA members broadly support...