We Need to Talk About the Clarus API
Most of our readers come to the Clarus blog to receive new information from us. Whether that be on the data side (such as the monthly RFR Adoption Indicator) or about new regulations (such as Central Clearing of Bonds and Repos). But do our readers ever stop to consider which tools we use to deliver […]
Bollinger, Greenspan and The Millennium Bug: LIBOR Is Now Dead
USD LIBOR is no more: I will likely never type US0003M into my Bloomberg ever again. I doubt many will shed a tear at the ultimate demise of LIBOR because: LIBOR – The Numbers This is as good a time as any to therefore pause and consider some of the things we saw in USD […]
The Latest on Canada and the Transition from CDOR to CORRA
ISDA recently published a very informative webinar on the CDOR Transition: From this, I learned that 30th June 2023 (i.e. Friday!) is a big day for Canada Rates markets. Succinctly, no more new CDOR trading should take place after this date, other than for some well-defined exceptions. The CARR website is a great resource (from […]
Find Out What Was Weird About RFR Trading In May
The latest ISDA-Clarus RFR Adoption Indicator has been published for May 2023 so I asked ChatGPT about the next report: I love how it states that because it is a language model it doesn’t predict the future. Rather than simply stating “you cannot predict the future smart @rse”. From my experience with ChatGPT, I found […]
Now LCH Have Converted Your USD Swaps too!
As recently as January I posed the question: That blog was written in response to the fact that 2022 continued to see plenty of USD LIBOR risk sent to CCPs. Could all of that trading just stop in time for the final cessation of USD LIBOR in June 2023? Following on from the recent CME […]
Term SOFR and BSBY Swap Volumes – May 2023
I last looked at Average and Term SOFR Volumes and Term SOFR and BSBY Volumes in early February 2023, focusing on 2022 volumes, so today I wanted to look at the 2023 data trends for these reference indices. As before we will seperate Term SOFR (published by CME) from Average SOFR (NY Fed), see the […]
Do you know how much now trades in RFRs after the CME conversion exercises?
We’ve covered the CME conversion exercises in detail here on the Clarus blog because they were really significant events for market participants and for the broader transition to SOFR in US markets. You can catch up on the recent publications below: All of these blogs were written before we could assess the overall impact to […]
CME converted your Eurodollars. This is what happened next.
This is an interesting journey through the data for those of you interested in what happened following CME’s conversion to SOFR for Eurodollar contracts (April 14th 2023) and the first USD conversion of LIBOR swaps at CME to SOFR (April 21st 2023). Eurodollars The once mighty Eurodollar contract is no more. (If you didn’t already […]
Fast Valuation of Seasoned OIS Swaps
OIS swaps have coupons determined by compounded daily interest rates settled every few months. The valuation of future coupons is computationally similar to the valuation of a LIBOR payment, in that the valuation involves the ratio of two discount factors associated with the start and end of the accrual period. A problem can arise on […]
The Eurodollar is no more…
Whilst ostensibly this blog is about the March 2023 edition of the ISDA-Clarus RFR Adoption Indicator, I cannot let pass the disappearance of the largest futures contract that I ever traded without comment. A huge part of the Clarus blog in recent times has been focused on the transition away from IBORs and into RFRs. […]