The ISDA-Clarus RFR Adoption Indicator retained its all-time high of 46.4% in July 2022.SOFR adoption hit a new record at 51.7% of the market.20.3% of EUR...

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...

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...

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...

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 […]

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 […]

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 […]

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 […]

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 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 […]