Update 09:45am EST 15th October. The final size of the LCH SOFR portfolio is now confirmed. It is about 15% smaller than the analysis below, at $9.1m gross DV01. The ISDA-Clarus RFR Adoption Indicator has been published for September 2020. The headlines are: The RFR Adoption Indicator increased to reach close to the January high. It was at 9.5% in […]