ISDA-Clarus RFR Adoption Indicator: July 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.

Documents (1) for ISDA-Clarus RFR Adoption Indicator: July 2023

ISDA AGM Studio: Jacques Vigner, BNP Paribas

Jacques Vigner, ISDA board member and chief strategic oversight officer for global markets at BNP Paribas, speaks with Mark Gheerbrant, global head of risk and capital at ISDA, on the key obstacles to a consistent, risk-appropriate capital framework and how to...

ISDA AGM Studio: Future Leaders in Derivatives

Following publication of the latest whitepaper from the ISDA Future Leaders in Derivatives (IFLD) program, Collateral and Liquidity Efficiency in the Derivatives Market: Navigating Risk in a Fragile Ecosystem, Joel Clark talks to IFLD participants Koen Ottenheijm, senior treasury and...