The ISDA-Clarus RFR Adoption Indicator decreased to 58.7% in May 2023 compared to 60.7% in April 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 risk-free rates (RFRs) in eight major currencies. On a traded notional basis, the percentage of RFR-linked IRD increased to 55.3% of total IRD transacted in May 2023 compared to 53.4% the prior month.
Key highlights for May 2023 include:
- RFR-linked IRD DV01 increased to $22.7 billion from $18.9 billion the prior month.
- Total IRD DV0 rose to $38.7 billion compared to $31.1 billion the prior month.
- RFR-linked IRD traded notional increased to $132.8 trillion from $93.6 trillion the prior month.
- Total IRD traded notional rose to $240.1 trillion compared to $175.1 trillion the prior month.
- The percentage of trading activity in SOFR declined to 65.6% of total USD IRD DV01 in May 2023 compared to 70.9% the prior month.
- CHF and GBP RFR-linked IRD DV01 accounted for 100% of total CHF IRD DV01 and 99.9% of total GBP 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: May 2023
Latest
Moving Regulatory Reporting up a Gear with AI
The aim of derivatives regulatory reporting is to improve transparency so regulators can monitor market activity and identify emerging risks. Although reporting rules and subsequent updates have resulted in improvements, they haven’t achieved fully consistent outcomes, leading to implementation and...
Sydney DTF: Scott O'Malia Opening Remarks
ISDA/AFMA Sydney Derivatives Trading Forum October 26, 2026 Opening Remarks Scott O’Malia ISDA Chief Executive Good morning, and welcome to the ISDA and AFMA Derivatives Trading Forum. Thanks for joining us today, and a big thank you to our...
ISDA Publishes FpML Version 5.14
ISDA has published a new version of its Financial products Markup Language (FpML), a widely used open-source standard for the electronic dealing and processing of derivatives transactions. The latest iteration – version 5.14 – incorporates several key modifications and updates...
Accounting for Tokenized Assets as Collateral
The use of tokenized assets as collateral for derivatives and securities financing transactions (SFTs) is emerging as a significant development in global capital markets. Financial institutions are increasingly evaluating tokenized representations of money market funds, government securities and other high-quality...