The ISDA-Clarus RFR Adoption Indicator increased to 54.3% in December 2022 compared to 50.8% 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 50.1% of total IRD transacted in December 2022 compared to 47.9% the prior month.

Key highlights for December 2022 include:

• RFR-linked IRD DV01 declined to $14.4 billion from $15.9 billion the prior month.
• Total IRD DV01 decreased to $26.5 billion from $31.4 billion the prior month.
• RFR-linked IRD traded notional declined to $73.6 trillion from $87.8 trillion the prior month.
• Total IRD traded notional decreased to $147.0 trillion compared to $183.5 trillion the prior month.
• The percentage of trading activity in SOFR increased to an all-time high of 64.1% of total USD IRD DV01 in December 2022 compared to 58.3% the prior month.
• CHF, GBP and JPY accounted for 100% of total CHF IRD DV01, 99.5% of total GBP IRD DV01 and 97.8% of total JPY IRD DV01, respectively.
• JPY had the highest percentage of RFR-linked IRD DV01 executed as transactions with tenors longer than two years.

*November data has been restated, resulting in slightly different numbers from what was previously reported.

To access interactive charts and export the data, click here.

A whitepaper on the methodology is available here.