USD Swaptions activity hit all time records in March 2021. Driven by the large sell-off in Fixed Income markets, we see particular evidence in 5Y tails of convexity hedging in Swaptions markets. We analyse the activity by strike and underlying (tails). For once, we are playing catch-up here. Chris Whittall over at IFR brought to […]

USD SOFR trading on D2C SEFs is very small, and well behind the industry average. 72% of GBP risk was versus SONIA on D2D SEFs in April 2021. CHF SARON adoption has jumped to 15% on D2D SEFs this month. RFR Adoption Indicators In this blog I turn the RFR Adoption Indicator methodology onto SEF […]

USD IRS with record volume in 1Q 2021, LCH share up YoY SOFR Swaps at new highs, LCH dominant, CME share higher than in IRS EUR IRS volumes up, Eurex share up YoY as it’s gains continue €STR Swaps a record month, LCH dominant, Eurex share higher than in IRS JPY Swaps volumes up, JSCC […]

16% of the global EUR D2D swaps market is now on-SEF. This has recently increased above the levels we saw in January 2021. We do not know why there has been another increase in EUR SEF trading. But the data shows it is happening! US venues continue to be the main beneficiaries of Brexit in […]