This is the final publication of the ISDA-Clarus Adoption Indicator, which was first published in July 2022. The indicator was developed by ISDA and Clarus Financial Technology to track 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. In this last report, ISDA provides a comparison of Q4 2023 vs. Q4 2022 trading activity instead of a monthly snapshot.
The ISDA-Clarus RFR Adoption Indicator increased to 61.8% in Q4 2023 compared to 51.7% in Q4 2022. On a traded notional basis, the percentage of RFR-linked IRD rose to 58.3% from 47.4% over the same period.
Key highlights for Q4 2023 vs. Q4 2022 include:
- RFR-linked IRD DV01 increased to $73.2 billion from $46.5 billion.
- Total IRD DV01 grew to $118.4 billion compared to $90.1 billion.
- RFR-linked IRD traded notional rose to $391.6 trillion from $243.3 trillion.
- Total IRD traded notional grew to $672.0 trillion compared to $513.4 trillion.
- The percentage of trading activity in SOFR increased to 72.3% of total USD IRD DV01 in Q4 2023 compared to 59.9% in Q4 2022.
- CHF and GBP RFR-linked IRD DV01 accounted for 100% of total CHF IRD DV01 and 99.8% of total GBP IRD DV01, respectively, in Q4 2023.
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: Q4 2023 vs. Q4 2022
Latest
ISDA Letter to FASB on Agenda Consultation
On June 30, ISDA submitted a comment letter to the Financial Accounting Standards Board (FASB) in response to the proposal File Reference No. 2025-ITC100, Agenda Consultation. In the letter, ISDA believes the highest priority should be given to expanding the hedge...
Joint Paper on UK EMIR Reform
On July 1, ISDA and UK Finance published a paper, which recommended a set of reforms for the UK European Market Infrastructure Regulation (UK EMIR), carefully considering each EU EMIR 3.0 reform and asking whether we would wish to adopt...
Response to FCA on UK EMIR Reporting
On June 30, ISDA submitted a response to chapter 5 of the UK Financial Conduct Authority’s (FCA) quarterly consultation CP25/16 on trade repository reporting requirements under the UK European Market Infrastructure Regulation (UK EMIR). Chapter 5 proposes ‘Amendments to the...
CDS Trading Activity in EU, UK and US Markets
This report analyzes credit derivatives trading activity reported in Europe. The analysis shows European credit derivatives transactions based on the location of reporting venues (EU versus UK) and product type. The report also compares European-reported credit derivatives trading activity to...