The ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 66.1% in August 2023 compared to 60.6% in July 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 grew to 62.1% of total IRD transacted in August 2023 compared to 57.9% the prior month.
Key highlights for August 2023 include:
RFR-linked IRD DV01 increased to $24.4 billion from $19.2 billion the prior month.
Total IRD DV01 rose to $36.9 billion compared to $31.8 billion the prior month.
RFR-linked IRD traded notional grew to $128.0 trillion from $103.4 trillion the prior month.
Total IRD traded notional increased to $206.1 trillion compared to $178.7 trillion the prior month.
The percentage of trading activity in SOFR rose to an all-time high of 76.2% of total USD IRD DV01 in August 2023 compared to 71.5% 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 99.9% 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, clickhere.
A whitepaper on the methodology is available here.