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
ISDA/IIB/SIFMA request to extend 22-14
This joint ISDA/IIB/SIFMA letter requests reporting relief for certain non-US swap dealers in Australia, Canada, the European Union, Japan, Switzerland or the United Kingdom with respect to their swaps with non-US persons. The joint trade association letter, submitted to CFTC...
ISDA In Review – March 2025
A compendium of links to new documents, research papers, press releases and comment letters published by ISDA in March 2025.
Updated OTC Derivatives Compliance Calendar
ISDA has updated its global calendar of compliance deadlines and regulatory dates for the over-the-counter (OTC) derivatives space.
A Positive Step to Improve the FRTB in the EU
As the Basel III capital reforms are finalized for implementation in key jurisdictions, ISDA is maintaining a laser focus on making sure the rules are robust and risk-appropriate. Simply put, if capital requirements are set disproportionately high, this will have...