RFR Adoption Rebounds in February

After a dip in January, when it registered 51.0, the ISDA-Clarus RFR Adoption Indicator rebounded in February to 52.9%, still below the level seen in December 2022, but still the second highest recorded.

The indicator tracks how much global trading activity (as measured by DV01) is conducted in cleared OTC and exchange-traded interest rate derivatives (IRD) that reference the identified risk-free rates (RFRs) in eight major currencies. The indicator has been updated to include the Canadian Overnight Repo Rate Average (Corra) and the Singapore Overnight Rate Average (Sora). All historical data has been restated to reflect the additional RFRs., ISDA says.

On a traded notional basis, the percentage of RFR-linked IRD increased to 49.1% of total IRD transacted in February 2023 compared to 48.3% in January. RFR-linked IRD DV01 increased to $22.6 billion from $18.4 billion, while total IRD DV01 increased to $42.8 billion compared to $36.1 billion in January. RFR-linked IRD traded notional increased to $125.5 trillion from $99.3 trillion, while total IRD traded notional increased to $255.4 trillion compared to $205.6 trillion.

The percentage of trading activity in SOFR increased to 59.1% of total USD IRD DV01 in February 2023 compared to 58.5% in January, and CHF, GBP and SGD accounted for 100% of total CHF IRD DV01, 99.8% of total GBP IRD DV01 and 97.8% of total SGD IRD DV01, respectively. JPY had the highest percentage of RFR-linked IRD DV01 executed as transactions with tenors longer than two years.