December 13, 2022
The ISDA-Clarus RFR Adoption Indicator increased to 51.4% in November 2022 compared to 51.3% 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 increased to 48.3% of total IRD transacted in November 2022 compared to 45.4% the prior month.
Key highlights for November 2022 include:
- RFR-linked IRD DV01 grew to $15.9 billion from $15.7 billion the prior month.
- Total IRD DV01 increased to $31.0 billion from $30.7 billion the prior month.
- RFR-linked IRD traded notional rose to $87.8 trillion from $79.7 trillion the prior month.
- Total IRD traded notional increased to $181.7 trillion compared to $175.6 trillion the prior month.
- The percentage of trading activity in SOFR increased to an all-time high of 58.3% of total USD IRD DV01 in November 2022 compared to 58.1% the prior month.
- CHF and GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 100% 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, click here.
A whitepaper on the methodology is available here.
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