From the link you gave me
https://www.isda.org/2022/05/16/benchmark-reform-and-transition-from-libor/#clarus
Go to 3. ISDA-Clarus RFR Adoption Indicator
Under Monthly Reports:
For the month of February
https://www.isda.org/a/aaJgE/ISDA-Clarus-RFR-Adoption-Indicator-February-2023.pdf
RFR Adoption indicator tracks global trade activity which is measured by DV01 that is conducted in Over-the-Counter (OTC) and exchange-traded Interest Rate Derivatives (IRD) that is trading in Risk-Free-Rates (RFR, in US is called SOFR) compared to total trades that also involve LIBOR.
On page 1 of the February report - 59.1% of USD IRD DV01 was transacted in SOFR.
For the month of March on page 1
https://www.isda.org/a/aeLgE/ISDA-Clarus-RFR-Adoption-Indicator-March-2023.pdf
61.5% of USD IRD DV01 was transacted in SOFR this month.
That is a 2.4% change
There is 3 months from that time to get he other 38.5% to SOFR. They've had years to do it and now they have to sandwich it all at once. That is a lot to still go.
I think we get the April report next week.
Unless you got some extra info I'm not familiar with, they are absolutely not out of the woods on this.
Extra Info - Defining DV01
On page 10 of the Whitepaper
https://www.isda.org/a/iKNTE/ISDA-Clarus-RFR-Adoption-Indicator-Whitepaper.pdf
Under Calculating DV01
The DV01 of an interest rate derivative is the ‘discounted value of a basis point’. This describes the valuation change in a derivative contract resulting from a (parallel) 1 basis point (0.01%) shift in the interest rate swaps that are used to value it.
To calculate the approximate DV01s from notional volume traded, the following process is applied:
-
Standardized DV01s for par (at-market) swaps are calculated for the standardized tenors, 1Y, 2Y, 5Y, 10Y, 30Y and 50Y.
-
All DV01s are calculated on the USD curve, irrespective of the underlying currency.
-
The par swaps are modelled as forward-starting swaps, out of the next quarterly international monetary market (IMM) date. This is to avoid any complications of including/excluding the first fixing. The DV01 also fluctuates less month-on-month (for the same market rates) because the exact number of days in the swap is more consistent.
-
The DV01 is calculated by valuing the swap at market (net present value (NPV) = zero) and then applying a parallel shift to the curve of 1 basis point (0.01%) and recalculating the NPV at the shifted market rates.
From the link you gave me
https://www.isda.org/2022/05/16/benchmark-reform-and-transition-from-libor/#clarus
Go to 3. ISDA-Clarus RFR Adoption Indicator
Under Monthly Reports:
For the month of February
https://www.isda.org/a/aaJgE/ISDA-Clarus-RFR-Adoption-Indicator-February-2023.pdf
RFR Adoption indicator tracks global trade activity which is measured by DV01 that is conducted in Over-the-Counter (OTC) and exchange-traded Interest Rate Derivatives (IRD) that is trading in Risk-Free-Rates (RFR, in US is called SOFR) compared to total trades that also involve LIBOR.
On page 1 of the February report - 59.1% of USD IRD DV01 was transacted in SOFR.
For the month of March on page 1
https://www.isda.org/a/aeLgE/ISDA-Clarus-RFR-Adoption-Indicator-March-2023.pdf
61.5% of USD IRD DV01 was transacted in SOFR this month.
That is a 2.4% change
There is 3 months from that time to get he other 38.5% to SOFR. They've had years to do it and now they have to sandwich it all at once. That is a lot to still go.
I think we get the April report next week.
Unless you got some extra info I'm not familiar with, they are absolutely not out of the woods on this.
Defining DV01
On page 10 of the Whitepaper
https://www.isda.org/a/iKNTE/ISDA-Clarus-RFR-Adoption-Indicator-Whitepaper.pdf
Under Calculating DV01
The DV01 of an interest rate derivative is the ‘discounted value of a basis point’. This describes the valuation change in a derivative contract resulting from a (parallel) 1 basis point (0.01%) shift in the interest rate swaps that are used to value it.
To calculate the approximate DV01s from notional volume traded, the following process is applied:
-
Standardized DV01s for par (at-market) swaps are calculated for the standardized tenors, 1Y, 2Y, 5Y, 10Y, 30Y and 50Y.
-
All DV01s are calculated on the USD curve, irrespective of the underlying currency.
-
The par swaps are modelled as forward-starting swaps, out of the next quarterly international monetary market (IMM) date. This is to avoid any complications of including/excluding the first fixing. The DV01 also fluctuates less month-on-month (for the same market rates) because the exact number of days in the swap is more consistent.
-
The DV01 is calculated by valuing the swap at market (net present value (NPV) = zero) and then applying a parallel shift to the curve of 1 basis point (0.01%) and recalculating the NPV at the shifted market rates.
From the link you gave me
https://www.isda.org/2022/05/16/benchmark-reform-and-transition-from-libor/#clarus
Go to 3. ISDA-Clarus RFR Adoption Indicator
Under Monthly Reports:
For the month of February
https://www.isda.org/a/aaJgE/ISDA-Clarus-RFR-Adoption-Indicator-February-2023.pdf
RFR Adoption indicator tracks global trade activity which is measured by DV01 that is conducted in Over-the-Counter (OTC) and exchange-traded Interest Rate Derivatives (IRD) that is trading in Risk-Free-Rates (RFR, in US is called SOFR) compared to total trades that also involve LIBOR.
On page 1 of the February report - 59.1% of USD IRD DV01 was transacted in SOFR.
For the month of March on page 1
https://www.isda.org/a/aeLgE/ISDA-Clarus-RFR-Adoption-Indicator-March-2023.pdf
61.5% of USD IRD DV01 was transacted in SOFR this month.
That is a 2.4% change
There is 3 months from that time to get he other 38.5% to SOFR. They've had years to do it and now they have to sandwich it all at once. That is a lot to still go.
I think we get the April report next week.
Unless you got some extra info I'm not familiar with, they are absolutely not out of the woods on this.