Extra Links:
Previous post of a Lynette Zang interview giving the run-down of LIBOR to SOFR
https://greatawakening.win/p/16aTQdJLbM/we-have-a-deadline-for-the-crash/c/
LIBOR to SOFR Report - April 2023
Find public info on the change taking place here:
https://www.isda.org/2022/05/16/benchmark-reform-and-transition-from-libor/#clarus
April 2023 Monthly Report https://www.isda.org/a/PMXgE/ISDA-Clarus-RFR-Adoption-Indicator-April-2023.pdf
70.9% of USD IRD DV01transacted in SOFR this month
Up 9.4% from March 2023 which had 61.5% in USD IRD DV01
Needs to go up to 100% by the end of June.
IRD - Interest Rate Derivatives
DV01 - from page 10 in the whitepaper on methodology
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 (dv) of the 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..."
LIBOR to SOFR - April 2023
Find public info on the change taking place here:
https://www.isda.org/2022/05/16/benchmark-reform-and-transition-from-libor/#clarus
April 2023 Monthly Report https://www.isda.org/a/PMXgE/ISDA-Clarus-RFR-Adoption-Indicator-April-2023.pdf
70.9% of USD IRD DV01transacted in SOFR this month
Up 9.4% from March 2023 which had 61.5% in USD IRD DV01
Needs to go up to 100% by the end of June.
IRD - Interest Rate Derivatives
DV01 - from page 10 in the whitepaper on methodology
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 (dv) of the 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..."