No, I don't have any documents I can point you to about other conversions. The conversions I did was for corporate credit - single name cds's, indexes, index tranche, etc.
I gotcha. Well from what I'm seeing the biggest problem has to do with the CLOs.
Anyways if you can find any more information please share it here or tag me in the coming days/weeks. I'm trying to read and learn everything I can about it.
Anything not converted is probably because the sheer entrenchment of libor throughout the code as opposed to any nefarious reasons. There's probably a ton of old code that needs to be changed.
The ISDA-Clarus RFR Adoption Indicator tracks how much global derivatives trading activity is conducted that reference the identified risk-free rates (RFRs) (OE on US called is called SOFR) in six major currencies.
Monthly Reports
February 2023
About 50% of Derivatives volume is traded with SOFR change rather than LIBOR
Could you pull up some sources confirming that?
Also do you know what area of finance you were writing the code for? Like mortgage, student loans, etc.
No, I don't have any documents I can point you to about other conversions. The conversions I did was for corporate credit - single name cds's, indexes, index tranche, etc.
I gotcha. Well from what I'm seeing the biggest problem has to do with the CLOs.
Anyways if you can find any more information please share it here or tag me in the coming days/weeks. I'm trying to read and learn everything I can about it.
You may also see what you find at isda.org. For instance:
https://www.isda.org/2022/05/16/benchmark-reform-and-transition-from-libor/
Anything not converted is probably because the sheer entrenchment of libor throughout the code as opposed to any nefarious reasons. There's probably a ton of old code that needs to be changed.
So if I'm not mistaken, on your link
The ISDA-Clarus RFR Adoption Indicator tracks how much global derivatives trading activity is conducted that reference the identified risk-free rates (RFRs) (OE on US called is called SOFR) in six major currencies.
Monthly Reports
February 2023
About 50% of Derivatives volume is traded with SOFR change rather than LIBOR
https://www.isda.org/a/aaJgE/ISDA-Clarus-RFR-Adoption-Indicator-February-2023.pdf
Page 2 of the Whitepaper says USD RFR is SOFR
Thanks! I'm going to be looking this over!