ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 11.7% in June compared to 10.8% the prior month. 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 the identified risk-free rates (RFRs) in six major currencies. On a traded notional basis, the percentage of RFR-linked IRD comprised 11.4% of total IRD in June compared to 11.8% the prior month.
Key highlights for June 2021 include:
RFR-linked IRD DV01 increased to $3.8 billion compared to $2.6 billion the prior month.
Total IRD DV01 transacted increased to $32.2 billion compared to $24.2 billion the prior month.
RFR-linked IRD traded notional increased to $17.7 trillion versus $13.7 trillion the prior month.
Total IRD traded notional transacted increased to $155.0 trillion compared to $116.0 trillion the prior month.
Total SOFR DV01 reached an all-time high of $1.1 billion. The percentage of trading activity in SOFR was 6.0% of total USD IRD DV01 transacted in June compared to 6.8% the prior month.
GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 61.0% of total GBP IRD DV01.
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, clickhere.
A whitepaper on the methodology is available here.