SOFR is now over half the market

The ISDA-Clarus RFR Adoption Indicator jumped to a new all-time high of 46.0% in May 2022. SOFR adoption cracked 50% (just!) of the market. 21.8% of EUR risk traded versus €STR, dipping slightly from last month’s all time high. We look at SEF activity in SOFR. The ISDA-Clarus RFR Adoption Indicator for May 2022 has now been published. […]

Latest Data Shows SOFR Trading Soaring

The ISDA-Clarus RFR Adoption Indicator jumped to a new all-time high of 40.5% in March 2022. This has been driven by increased SOFR adoption, hitting a new high of 41.1%. SOFR is now comfortably the largest RFR market. More SOFR risk trades ($11bn DV01) per month than all other RFRs combined.  20.2% of EUR risk traded versus […]

SOFR Adoption Hits New Highs

The RFR Adoption Indicator hit new all time highs in February of 36.3%. Nearly 100% of the GBP, JPY and CHF markets are now traded vs RFRs. SOFR adoption has increased to 33.4% of overall USD Rates risk. The increase in RFR activity has happened in very active markets. February 2022 saw the most amount […]

What did January teach us about RFR trading?

The January 2022 ISDA-Clarus RFR Adoption Indicator has now been published. It delivers a few really important lessons about the underlying markets (and data). The headlines include: A virtually unchanged headline adoption rate of 31.9%, versus 31.7% for the previous month. The full time-series is available at rfr.clarusft.com: 99.8% of all new GBP and CHF […]

What is now Trading in RFR Cross Currency Swaps?

Cross Currency swap trading has transition quickly to USD SOFR and away from USD LIBOR in 2022. All of the currency pairs we look at show evidence of a transition to USD SOFR. Some markets are now trading RFR vs RFR Cross Currency Swaps. Most of the other markets now trade Term domestic rates vs […]

What Now for SOFR?

The ISDA-Clarus RFR Adoption Indicator was published last week, covering December 2021. December saw some notable (!) events, including: Conversion of GBP, JPY and CHF positions into RFRs at major CCPs. Cessation of LIBOR in those three currencies (at the very end of our sample period). Activation of ISDA Fallbacks for any bilateral positions outstanding […]

SOFR Swaptions – Month One Update

We recently covered SOFR Swaptions – Week One Update and SOFR First in Swaptions, and now that we have November volumes, I wanted to update what the data shows. November 2021 – SOFR Swaptions In SDRView Researcher, we select USD Swaptions and categorize by reference index as IBOR or RFR. Showing the jump to 29% of […]