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
On a somewhat related but slightly different topic, as I think this one is a nothing-burger, there was discussion today (internal) and the person was talking about svb. He said that one issue was HTM - Held to Maturity, where I guess you don't have to value assets that you plan to hold until maturity and that's why things were looking good, until they didn't. I don't know anything about this. Just did a google search and found this:
Hello there fren, its been awhile! Have you been hearing anything else in the financial world?
FASB old accounting rules are definitely notable.
April's numbers for the LIBOR to SOFR transition are about to come out. In March, the derivative volume only increased by 2% from February. So still about 40% of derivatives need to move over from LIBOR to SOFR by June 30, 2023. I expect changing about $80 Trillion of derivative contracts will have ramifications, along with the other trillions in CDOs/CLOs.
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
Not sure, I didn't check it out. I provided the isda link because an isda working group was running the libor -> arr effort.
Alright well in any case thanks for the link! I never would've found that on my own.
On a somewhat related but slightly different topic, as I think this one is a nothing-burger, there was discussion today (internal) and the person was talking about svb. He said that one issue was HTM - Held to Maturity, where I guess you don't have to value assets that you plan to hold until maturity and that's why things were looking good, until they didn't. I don't know anything about this. Just did a google search and found this:
https://tax.thomsonreuters.com/news/silicon-valley-banks-failure-sparks-speculation-that-fasb-accounting-rules-for-held-to-maturity-debt-securities-should-be-revised/
Seems like if you could find out what other banks/investment firms use this for many of their assets you might know which ones could be in trouble.
Hello there fren, its been awhile! Have you been hearing anything else in the financial world?
FASB old accounting rules are definitely notable.
April's numbers for the LIBOR to SOFR transition are about to come out. In March, the derivative volume only increased by 2% from February. So still about 40% of derivatives need to move over from LIBOR to SOFR by June 30, 2023. I expect changing about $80 Trillion of derivative contracts will have ramifications, along with the other trillions in CDOs/CLOs.