August 14, 2023
The ISDA-Clarus RFR Adoption Indicator rose to 60.6% in July 2023 compared to 58.1% in June 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 increased to 57.9% of total IRD transacted in July 2023 compared to 55.6% the prior month.
Key highlights for July 2023 include:
- RFR-linked IRD DV01 fell to $19.2 billion from $23.2 billion the prior month.
- Total IRD DV01 dropped to $31.8 billion compared to $39.9 billion the prior month.
- RFR-linked IRD traded notional declined to $103.4 trillion from $130.9 trillion the prior month.
- Total IRD traded notional fell to $178.7 trillion compared to $235.3 trillion the prior month.
- The percentage of trading activity in SOFR increased to an all-time high of 71.5% of total USD IRD DV01 in July 2023 compared to 65.0% the prior month.
- CHF and SGD RFR-linked IRD DV01 accounted for 100% of total CHF IRD DV01 and 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.
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