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
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