The ISDA-Clarus RFR Adoption Indicator decreased slightly to 58.1% in June 2023 from 58.7% in May 2023. The drop was driven by higher federal funds trading activity. 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 55.6% of total IRD transacted in June 2023 compared to 55.3% the prior month.
Key highlights for June 2023 include:
RFR-linked IRD DV01 rose to $23.2 billion from $22.7 billion the prior month.
Total IRD DV01 increased to $39.9 billion compared to $38.7 billion the prior month.
RFR-linked IRD traded notional dropped to $130.9 trillion from $132.8 trillion the prior month.
Total IRD traded notional declined to $235.3 trillion compared to $240.1 trillion the prior month.
The percentage of trading activity in SOFR decreased to 65.0% of total USD IRD DV01 in June 2023 compared to 65.6% the prior month.
CHF and GBP RFR-linked IRD DV01 accounted for 99.9% of total CHF IRD DV01 and 99.9% of total GBP 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, clickhere.
A whitepaper on the methodology is available here.