ISDA Ends RFR Adoption Monitor: Provides RFR Snapshot
Posted by Colin Lambert. Last updated: January 30, 2024
With the transition away from Ibors to risk-free reference rates (RFRs) either completed or on an established path, ISDA has announced it will no longer publish the monthly ISDA-Clarus RFR Adoption Indicator, which started in mid-2022.
The indicator was developed by ISDA and Clarus Financial Technology to track how much global trading activity (as measured by DV01) is conducted in cleared OTC and exchange-traded interest rate derivatives (IRD) that reference RFRs in eight major currencies. RFR adoption rates have been steady for some time, especially since the end of USD Libor in mid-2023, however ISDA has published final data giving an indication of the pace of growth over what was a critical 18-month period.
The headline RFR Adoption Indicator increased to 61.8% in Q4 2023 compared to 51.7% in Q4 2022. On a traded notional basis, the percentage of RFR-linked IRD rose to 58.3% from 47.4% over the same period. RFR-linked IRD DV01 increased to $73.2 billion from $46.5 billion, while total IRD DV01 grew to $118.4 billion compared to $90.1 billion.
Also over the 18 months, RFR-linked IRD traded notional rose to $391.6 trillion from $243.3 trillion, while total IRD traded notional grew to $672.0 trillion compared to $513.4 trillion. The percentage of trading activity in SOFR, which replaced USD Libor, increased to 72.3% of total USD IRD DV01 in Q4 2023 compared to 59.9% in Q4 2022. CHF and GBP RFR-linked IRD DV01 accounted for 100% of total CHF IRD DV01 and 99.8% of total GBP IRD DV01, respectively, in Q4 2023.