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ISDA publishes ISDA-Clarus RFR adoption indicator for December 2022

Published on: 11 January 2023
Published by LNB News

LNB News 11/01/2023

Document Information

Issue Date: 11 January 2023

Published Date: 11 January 2023

Jurisdiction(s): United Kingdom

Article summary

The International Swaps and Derivatives Association (ISDA) has published its ISDA-Clarus risk-free rate (RFR) Adoption Indicator for December 2022. 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 six major currencies. On a traded notional basis, the percentage of RFR-linked IRD increased to 50.1% of total IRD transacted in December 2022 compared to 47.9% in November 2022.

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