The ISDA-Clarus RFR Adoption Indicator fell to 60.3% in September 2023 compared to 66.1% in August 2023. The drop was driven by a decline in SOFR trading due to increased trading activity in the effective federal funds rate. 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 dropped to 58.3% of total IRD transacted in September 2023 compared to 62.1% the prior month.
Key highlights for September 2023 include:
- RFR-linked IRD DV01 fell to $22.6 billion from $24.4 billion the prior month.
- Total IRD DV01 increased to $37.4 billion compared to $36.9 billion the prior month.
- RFR-linked IRD traded notional dropped to $123.7.0 trillion from $128.0 trillion the prior month.
- Total IRD traded notional grew to $212.1 trillion compared to $206.1 trillion the prior month.
- The percentage of trading activity in SOFR declined to 68.3% of total USD IRD DV01 in September 2023 compared to 76.2% the prior month.
- CHF, GBP and SGD RFR-linked IRD DV01 accounted for 100% of total CHF IRD DV01, 99.9% of total GBP IRD DV01 and 100% 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.
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: September 2023
Latest
A Financial Markets Revolution
Every financial center has its own unique features, but it was particularly fitting that ISDA’s recent Annual General Meeting (AGM) was held in Boston – not only a global hub for asset management and insurance, but also a city that...
ISDA AGM Studio: Nnamdi Okaeme & John Pucciarelli
Marking the 10‑year anniversary of the ISDA Standard Initial Margin Model (ISDA SIMM), Joel Clark, senior director, communications, at ISDA, speaks with Nnamdi Okaeme, ISDA’s head of SIMM, and John Pucciarelli, head of partnerships and director of industry engagement at...
Response on Legal Frameworks for Carbon Credits
On May 4, ISDA and the Association for Financial Markets in Europe (AFME) responded to the European Commission’s (EC) consultation on a legal framework for the inclusion of international carbon credits within the EU’s 2040 climate law framework. In the...
ISDA AGM Studio: Julia Hueckel and Chris Zuehlke
Julia Hueckel, director of global regulatory policy at Coinbase, and Chris Zuehlke, global head of Cumberland and partner at DRW, speak with Nicolette Cone, ISDA’s chief of staff and associate general counsel, on the rapidly evolving legislative framework for digital...