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There are two parallel branches to the SONIA reforms. One is to modify how the rate itself is being set. The other is to promote its’ use as the near Risk Free Rate for GBP derivative markets. We take a look at current SONIA markets. *Updated 18th May 2017 to correct the use of trimmed-mean (not median) […]
Continuing with our monthly Swaps review series, let’s look at volumes in April 2017. Summary: SDR USD IRS price-forming volume > $1.8 trillion gross notional SEF Compression activity in USD IRS > $250 billion USD OIS volume was > $2 trillion Both USD IRS and OIS are well down from recent highs EUR IRS and OIS volume is mostly Off SEF SEF USD, […]
Central Counterparties recently published their latest CPMI-IOSCO Quantitative Disclosures and in this article I will highlight a few of the key trends, similar to my article on 3Q 2016 trends. Background Under the voluntary CPMI-IOSCO Public Quantitative Disclosures by CCPs, over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk […]