The ISDA-Clarus RFR Adoption Indicator increased to 64.8% in November 2023 compared to 59.9% in October 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 grew to 60.8% of total IRD transacted in November 2023 compared to 55.0% the prior month.
Key highlights for November 2023 include:
- RFR-linked IRD DV01 increased to $27.7 billion from $24.4 billion the prior month.
- Total IRD DV01 rose to $42.8 billion compared to $40.8 billion the prior month.
- RFR-linked IRD traded notional grew to $144.0 trillion from $125.3 trillion the prior month.
- Total IRD traded notional increased to $237.0 trillion compared to $227.7 trillion the prior month.
- The percentage of trading activity in SOFR grew to 75.2% of total USD IRD DV01 in November compared to 67.2% the prior month.
- CHF, GBP and SGD RFR-linked IRD DV01 accounted for 99.9% 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: November 2023
Latest
Updated OTC Derivatives Compliance Calendar
ISDA has updated its global calendar of compliance deadlines and regulatory dates for the over-the-counter (OTC) derivatives space.
Next Steps on a Much Improved Basel III Endgame
Publication of the revised Basel III endgame proposal earlier this month marks an important step towards completion of the global capital reforms, giving banks much-needed clarity on the likely calibration of the rules in the US. The new proposal is...
Paper on Market Integration Plans
On March 20, ISDA shared its position paper on better regulation and supervision within the European Commission’s (EC) Market Integration and Supervision Package (MISP) proposal with decision makers in the European Parliament, the Council of the European Union and the...
Gentek AI Selected to Develop DRR Traceability
ISDA has selected Gentek AI to develop a new traceability tool for the ISDA Digital Regulatory Reporting (DRR) solution, enhancing transparency for users of the ISDA DRR. The traceability tool will allow users to look back at the history of...
