The ISDA-Clarus RFR Adoption Indicator fell to 60.3% in September 2023 compared to 66.1% in August 2023. The drop was driven by a decline in SOFR trading due to increased 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 58.3% of total IRD transacted in September 2023 compared to 62.1% the prior month.
Key highlights for September 2023 include:
- RFR-linked IRD DV01 fell to $22.6 billion from $24.4 billion the prior month.
- Total IRD DV01 increased to $37.4 billion compared to $36.9 billion the prior month.
- RFR-linked IRD traded notional dropped to $123.7.0 trillion from $128.0 trillion the prior month.
- Total IRD traded notional grew to $212.1 trillion compared to $206.1 trillion the prior month.
- The percentage of trading activity in SOFR declined to 68.3% of total USD IRD DV01 in September 2023 compared to 76.2% the prior month.
- CHF, GBP and SGD RFR-linked IRD DV01 accounted for 100% 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: September 2023
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