The latest on RFR Adoption
The ISDA-Clarus RFR Adoption Indicator recorded another all-time high of 46.4% in June 2022. SOFR adoption was at 49.7% of the market. 23.8% of EUR risk traded versus €STR, a new all time high. June 2022 saw the largest notional ever traded in RFRs, at $86.5Trn. The ISDA-Clarus RFR Adoption Indicator for June 2022 has now been published. […]
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. […]
RFR Adoption increases again but markets see lower volumes
The ISDA-Clarus RFR Adoption Indicator jumped to a new all-time high of 43.8% in April 2022. This has been driven by increased SOFR adoption, hitting a new high of 47%. SOFR is now comfortably the largest RFR market. More SOFR risk traded ($8bn DV01) last month than all other RFRs combined. 22.8% of EUR risk traded versus […]
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 […]
The Latest RFR First Initiative in Cross Currency Swaps
For my final blog of 2021, permit me a small amount of self indulgence. I will take a look at the Cross Currency Swaps markets and their reactions to the two waves of RFR First that we have had recently. It turns out I will always jump on any excuse to write about Cross Currency […]
The $7 Trillion Increase in New RFR Positions
The RFR Adoption Indicator hit new all time highs in November of 26.3%. 45% of the USD Swaptions market is now traded versus SOFR on IDB SEFs. 100% of the GBP, JPY and CHF XCCY markets vs USD are now traded RFR vs RFR. We have seen a $7Trn+ increase in the Open Interest of […]