Last week we covered SOFR Market Developments covering the comparison of SOFR derivatives volumes vs Libor and FedFunds, which highlighted the massive growth that needs to happen for SOFR to surpass Libor as the primary interest rate reference index. Every firm active in Futures and Swaps should be tracking the uptake of SOFR trading and […]

We detail the GSIB methodology for US banks, referred to as “Method 2” in the literature. We calculate the GSIB scores for 8 US banks as at December 2018 and September 2019. We find that the Method 2 scores are particularly penal for Morgan Stanley. It will be interesting to see how these scores change […]

Last month I wrote about SONIA market developments and how trading is progressing ahead of 2022 when Libor is expected to end. In this blog I extend this analysis to the USD markets. Much like SONIA, SOFR has seen some growth over the past year, which is to be expected as USD Libor is also […]

There are 30 Global Systemically Important Banks (G-SIBs) in 2019. A bank must hold at least an extra 1% in Tier One capital as a result of qualifying as a G-SIB. We look at the calculations necessary to work out a bank’s G-SIB score and calculate the exact values for 2019. We estimate that HSBC […]