The ISDA-Clarus RFR Adoption Indicator fell to 59.9% in October 2023 compared to 60.3% in September 2023. The drop was driven by a decline in SOFR trading due to higher 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 55.0% of total IRD transacted in October 2023 compared to 58.3% the prior month.
Key highlights for October 2023 include:
- RFR-linked IRD DV01 increased to $24.4 billion from $22.6 billion the prior month.
- Total IRD DV01 rose to $40.8 billion compared to $37.4 billion the prior month.
- RFR-linked IRD traded notional grew to $125.3 trillion from $123.7 trillion the prior month.
- Total IRD traded notional increased to $227.7 trillion compared to $212.1 trillion the prior month.
- The percentage of trading activity in SOFR declined to 67.2% of total USD IRD DV01 in October 2023 compared to 68.3% 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: October 2023
Latest
Bulk Adherence Upload Page
Please download the attached Excel worksheet and fill out a separate row for each adherence. Then select and upload your completed file using the buttons below. If any errors are found, please correct and re-upload. Note that, if the only...
ISDA In Review – May 2025
A compendium of links to new documents, research papers, press releases and comment letters published by ISDA in May 2025.
ISDA Response to HMT SI on Digital Assets
On May 23, ISDA sent a comment letter in response to a draft statutory instrument (SI) from His Majesty’s Treasury (HMT) that establishes a new regulatory framework for digital assets. In the letter, ISDA recommends a review of the proposed...
FX Emerging Markets Documentation
ISDA now hosts the Template Terms published by EMTA, Inc. (the Emerging Markets Traders Association). More information about ISDA’s and EMTA’s respective roles in documentation for emerging markets is available at the following link. The documents can be found in...