Over £673bn in SONIA OIS swaps have traded at negative rates in 2021. Expectations for negative rates have been severely reduced since the last MPC meeting. This year, swaps as long as 4 years have recorded negative rates. We look at what has traded and current timing expectations. In May of last year, I wrote […]

We have all seen ESG, as in Environmental, Social and Governance, bandied around as a new(ish) buzz word in Finance, so today I wanted to take our first dive into this topic. Background We can define ESG as a set of non-financial factors that are used as criteria to compare a companies impact on the […]

We cover SOFR Swaps and other RFRs on a regular basis, so I thought today it would be interesting to see if Swaptions and CapsFloors that reference SOFR are trading. Swaptions Using SDRView, we can search for Swaptions in USD and categorize by reference index. Libor trade counts are in the range 350 to 1,700 […]

The latest ISDA-Clarus RFR Adoption Indicator has just been published for January 2021. It is quite incredible how stable it has been recently. The overall Adoption Indicator was again at 10.0%, identical to December 2021. This means that 10.0% of all of the derivatives Rates risk transacted during January 2021was versus a Risk Free Rate. […]