ISDA-Clarus RFR Adoption Indicator: April 2023

The ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 60.7% in April 2023 compared to 56.6% in March 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 rose to 53.4% of total IRD transacted in April 2023 compared to 52.3% the prior month.

Key highlights for April 2023 include:

  • RFR-linked IRD DV01 declined to $18.9 billion from $33.8 billion the prior month.
  • Total IRD DV01 fell to $31.1 billion compared to $59.8 billion the prior month.
  • RFR-linked IRD traded notional dropped to $93.6 trillion from $200.4 trillion in March 2023.
  • Total IRD traded notional fell to $175.1 trillion compared to $383.6 trillion the prior month.
  • The percentage of trading activity in SOFR rose to 70.9% of total USD IRD DV01 in April compared to 61.5% in March 2023.
  • CHF and GBP RFR-linked IRD DV01 accounted for 100% of total CHF IRD DV01 and 99.6% 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: April 2023

Eyeing the Basel III Finish Line

An effective regulatory capital framework relies on multiple ingredients, from appropriate drafting to rigorous testing and consultation. Even minor calibration distortions can inflate capital requirements, which could negatively affect the capacity of banks to support deep and liquid markets, with...

Joint Comment Letter on Basel III Endgame Proposal

The Institute of International Finance (IIF), the International Swaps and Derivatives Association, Inc. (ISDA) and the Securities Industry and Financial Markets Association (SIFMA) today submitted a joint comment letter to the Board of Governors of the Federal Reserve System, the...