Did You Know That The New Amount of SOFR Risk Hasn’t Changed for 3 Months?

The latest ISDA-Clarus RFR Adoption Indicator has just been published for January 2021. It is quite incredible how stable it has been recently.

  • The overall Adoption Indicator was again at 10.0%, identical to December 2021.
  • This means that 10.0% of all of the derivatives Rates risk transacted during January 2021was versus a Risk Free Rate. The rest was transacted versus legacy rates, mainly IBORs.
  • For the third month running, 5.6% of total USD risk was transacted versus SOFR. Three months in a row now!
  • GBP SONIA markets hit new highs in terms of percentage traded in SONIA. 45.9% of all risk transacted was versus SONIA. It is now very close to being the dominant traded rate.
  • CHF SARON markets reached 7.7% whilst JPY TONA is still down at 3.5%. As we highlighted in our response to the recent IBA consultation, these low take-ups in these two currencies is concerning from a transition perspective.

Run Your Own RFR Adoption Indicator

We make the data for the RFR Adoption Indicator available for download at rfr.clarusft.com. To complement this, you can also load your private data, to calculate the value of the RFR Adoption Indicator on private portfolios.

This works particularly well to track your transition efforts in each currency, or with individual counterparties. It is very straight-forward, as the dashboard below shows:

Contact us if you want to see more analysis on your private portfolios.

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