The ISDA-Clarus RFR Adoption Indicator was 51.0% in September 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 44.9% of total IRD transacted in September 2022 compared to 44.0% the prior month.
Key highlights for September 2022 include:
RFR-linked IRD DV01 increased to $19.2 billion from $16.2 billion the prior month.
Total IRD DV01 increased to $37.7 billion from $31.8 billion the prior month.
RFR-linked IRD traded notional increased to $102.2 trillion from $81.2 trillion the prior month.
Total IRD traded notional increased to $227.9 trillion compared to $184.3 trillion the prior month.
The percentage of trading activity in SOFR accounted for 56.6% of total USD IRD DV01 in September 2022 compared to 57.2% the prior month.
GBP saw the largest percentage of RFR-linked IRD trading activity, totaling 99.7% of total GBP 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, clickhere.
A whitepaper on the methodology is available here.