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
Response on Commodity Derivatives Markets
On April 22, ISDA and FIA submitted a joint response to the European Commission’s (EC) consultation on the functioning of commodity derivatives markets and certain aspects relating to spot energy markets. In addition to questions on position management, reporting and...
Episode 50: The Value of Derivatives
A new report from ISDA shows that companies all over the world use derivatives to alleviate uncertainty, transfer risk and enhance profitability. ISDA discusses the findings with Boston Consulting Group’s Roy Choudhury. Please view this page via Chrome to access...
ISDA/IIF Response to EC Market Risk Consultation
On February 22, ISDA and the Institute of International Finance (IIF) submitted a joint response to the European Commission’s (EC) consultation on the application of the market risk prudential framework. The associations believe the capital framework should be risk-appropriate and...
ISDA Submits Letter on Environmental Credits
On April 15, ISDA submitted a response to the Financial Accounting Standards Board’s (FASB) consultation on environmental credits and environmental credit obligations. The response supports the FASB’s overall proposals to establish clear and consistent accounting guidance for environmental credits, but...