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. […]

A short blog today to highlight the recent Financial Conduct Authority (FCA) decision on synthetic USD Libor. As all our readers will know, USD Libor is set to end on 30-June-2023, at which point “panel banks” will stop contributing rates to ICE Benchmark Administration (IBA). So let’s summarize the recent FCA decision: There you have […]

ISDA and Clarus have now added CAD and SGD RFRs to the currencies we track in the RFR Adoption Indicator. This brings the total number of currencies up to 8: As we approach the end of USD LIBOR it will be interesting to see how other IBOR rates fare. CAD is in the middle of […]

A crucial step in the final transition to USD SOFR is the physical conversion of outstanding cleared OTC swaps from USD LIBOR to USD SOFR. Clearing Houses (CCPs) provide this as a service to clearing participants and it is a crucial “last step” in the move away from LIBOR. Remember that USD is the last […]

Recently I looked at Term SOFR and BSBY Volumes in 2022 and in that article I used a pretty loose definition of Term SOFR; basically anything where the index was not the standard overnight SOFR index. My goal being to isolate the trades not using overnight SOFR. Today I want to seperate out the use […]

The ISDA-Clarus RFR Adoption Indicator for January 2023 has now been published. Showing; Why The Stasis? Am I becoming a broken record? In the past few weeks, I have written: All of those blogs are very much about the slower than required adoption of RFRs, particularly SOFR, as June 2023 fast approaches. What does this tell […]

We looked into Term SOFR and BSBY Swap Volumes in April 2022 and What’s New in Term SOFR in November 2022, so today I will update that blog to see how trade volumes in these reference indices developed in 2022. Term SOFR Swaps In SDRView, I can group USD FixedFloat Swaps by the Reference Index […]

CORRA First was put in place on January 9th 2023 to help CAD interest rate derivatives transition from CDOR to CORRA. For all of the juicy details, please see my blog from last year: Transparency is Better Than Ever RFR transition in Canadian markets may seem a little niche for some of our readers. However, […]

This is a follow-up to an RFR Adoption blog that I wrote in November: In that blog, I noted that Fed Funds seemed to be settling at around 10% of the USD market (excluding LIBOR, which continued to print in relatively large size every month in 2022). However, last week I noticed the following Linkedin […]

As January slips by, we will shortly be staring at June 30th 2023 when USD LIBOR will finally cease publication. Whilst all signs suggest that LIBOR transition in USD markets will be just as smooth as in GBP, JPY and CHF last year, it is worth just pausing and noting how large the USD LIBOR […]