Monitoring your own RFR Adoption Indicators

Last summer I wrote Calculate Your Own RFR Adoption Indicators to explain why it was important on IBOR Transition projects to benchmark and monitor your own firms adoption rate versus the market.

In a nutshell, your project needs to know if your firm is lagging, leading or in the middle of the pack and respond accordingly.

So it is gratifying that so many firms download the public ISDA-Clarus RFR Adoption Indicator data, available here and use the data to inform their plans.

With March an important month in IBOR Transition and only 10-months to year end, now is the time to make sure your firm has a good process to monitor how your IBOR vs RFR risk is transitioning compared to the market and your peers.

Create your own

As the methodology is open, fully documented and available here, for many firms it is relatively straightforward to create internal indicators by:

  1. collecting trade volumes each month
  2. categorize as products (ETD, OTC), index (RFR, Other) and tenor (1Y, 2Y, 5Y, 10Y, 30Y, 50Y)
  3. convert the volume into usd notional equivalents
  4. convert from notional to dv01
  5. calculate the indicators as in charts 1 to 6.

Then compare with the public ISDA-Clarus RFR Adoption Indicators.

To make it even easier, we have released a new Clarus Web App.

Clarus Web App

This allows you to upload a file of your own trades and a single-click calculate to get a comparison of your RFR Indicators against the latest public dataset.

Clarus Web App
  • Showing that for this portfolio, we are good in USD and EUR
  • But lagging severely in GBP, 13.5% vs 45.9%!
  • Time to investigate why and line up resources to address…
  • Overall at 8%, just lagging the 10% market average.

The choice of trade file formats are:

  • Clarus csv
  • CCP trade files (from many OTC CCPs)
  • Securities Services/Fund Admins formats

For existing Clarus CHARM customers, these trades will already be available for use in the Web App.

While for new customers, we can easily deploy support for new file formats.

Bi-lateral Trades

And if you upload your bi-lateral derivatives, each currency and counterparty combination is calculated.

Clarus Web App
  • Showing a great state and leading adoption by some way, 42%
  • But time to focus on our trades with specific counterparties
  • In CHF, Aargau, Graubunden and Neuchatel
  • In JPY, Geneve?

And there is more functionality, for example:

  • filtering out trades which mature before the Libor cessation date,
  • selecting only trades done in the last week or month or quarter
  • gross or net risk measures

If you are interested in a demonstration, please contact us.

That’s It

ISDA-Clarus RFR Adoption Indicators are now widely used.

We think firms should also calculate their own indicators.

The open methodology makes it relatively straightforward.

Even easier, we now have an Web App.

Just upload your trades and we calculate these for you.

So you can monitor RFR Adoption easily and regularly.

And adjust your plan accordingly.

With only ten months to go, each month is precious.

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