May 15, 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.
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