April 11, 2023
The ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 56.6% in March 2023 compared to 52.9% in February 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 the identified risk-free rates (RFRs) in eight major currencies. On a traded notional basis, the percentage of RFR-linked IRD rose to 52.3% of total IRD transacted in March 2023 compared to 49.1% the prior month.
Key highlights for March 2023 include:
- RFR-linked IRD DV01 increased to $33.8 billion from $22.6 billion the prior month.
- Total IRD DV01 rose to $59.8 billion compared to $42.8 billion the prior month.
- RFR-linked IRD traded notional increased to $200.4 trillion from $125.5 trillion the prior month.
- Total IRD traded notional increased to $383.6 trillion compared to $255.4 trillion the prior month.
- The percentage of trading activity in SOFR rose to 61.5% of total USD IRD DV01 in March 2023 compared to 59.1% the prior month.
- CHF, GBP and JPY RFR-linked IRD DV01 accounted for 100% of total CHF IRD DV01, 99.9% of total GBP IRD DV01 and 98.5% 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.
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