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

ISDA Response to ESMA on CCP Model Validation

On April 7, ISDA responded to the European Securities and Markets Authority’s (ESMA) consultation on draft regulatory technical standards (RTS) under article 49(5) of the European Market Infrastructure Regulation (EMIR), on the conditions for an application for validation of model...