ISDA-Clarus RFR Adoption Indicator: November 2023

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