The ISDA-Clarus RFR Adoption Indicator was 51.3% in October 2022 compared to 51.1% 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 45.4% of total IRD transacted in October 2022 compared to 44.9% the prior month.

Key highlights for October 2022 include:

• RFR-linked IRD DV01 declined to $15.7 billion from $19.2 billion the prior month.
• Total IRD DV01 decreased to $30.7 billion from $37.7 billion the prior month.
• RFR-linked IRD traded notional declined to $79.7 trillion from $102.2 trillion the prior month.
• Total IRD traded notional decreased to $175.6 trillion compared to $227.8 trillion the prior month.
• The percentage of trading activity in SOFR increased to an all-time high of 58.1% of total USD IRD DV01 in October 2022 compared to 56.6% the prior month.
• CHF saw the largest percentage of RFR-linked IRD trading activity, totaling 100% of total CHF 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, click here.

A whitepaper on the methodology is available here.