ISDA-Clarus RFR Adoption Indicator: Q4 2023 vs. Q4 2022

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.

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