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 […]

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 […]

Last week we covered SOFR First in Swaptions and did so the day after the November 8th commencement date. Now that we have more data, let’s look at what this shows. Week One – SOFR Swaptions In SDRView Researcher, we select USD Swaptions and categorize by reference index as IBOR or RFR. Showing that in […]

This is not quite our normal “LIVE BLOG” type of announcement for SOFR First in Swaptions (and other non-linear derivatives). I tend to think that Options markets like to make things (unnecessarily?) complicated, and so there are a number of moving parts to look at for SOFR First in USD Swaptions. In Summary November 8th […]

The latest ISDA-Clarus RFR Adoption Indicator shows that RFR trading is really picking up across the board. I know we’ve all been waiting a while for this to happen, but finally the industry seems to be accelerating efforts to transition away from IBORs. September 2021 Overall, we hit a new all time high of 20.3%. […]

There are some blogs I look forward to writing – this is one of ’em! Circled in our diaries for quite some time has been Tuesday September 21st. This is when the Cross Currency Swaps market is expected to follow the lead of the recent SOFR First initiative and start the transition away from LIBOR […]

The latest ISDA-Clarus RFR Adoption Indicator presents some truly incredible numbers in August 2021. On to the details. August 2021 The headline RFR Adoption Indicator increased to a new all time high of 17.5% in August 2021. The chart looks particularly healthy: August 2021 was the first month where SOFR First really demonstrated its impact […]

SOFR trading now accounts for 30% of the USD market. This is as a direct result of the SOFR first initiative. Elsewhere, US markets have been in the midst of a Summer lull. Volumes outside of SOFR were around 15% lower than other weeks in 2021. We look forward to updating the ISDA-Clarus RFR adoption […]

SOFR First as a prioritization of interdealer trading in SOFR over LIBOR, recommended that on July 26, 2021 and thereafter, interdealer brokers replace trading of LIBOR linear swaps with SOFR linear swaps. Last week we covered Day One and Day Two of SOFR First, so today I will review week one. Increase in SOFR Swaps In SDRView Res, […]

We covered the first day of SOFR First in our Live Blog on Monday, and today I wanted to take a look at the first two days of SOFR trading. Increase in SOFR Swaps Using SDRView Researcher, we can easily see the increase in SOFR risk traded: From under 4%, we see a jump to […]