RFRs: Libor is changing!

ICE are planning to change the calculation methodology for LIBOR. LIBOR is not currently (April 2018) transaction based – it remains a survey. ICE would like to change this so that it can be based on transactions, but not all Libor tenors see transactions every day. There is therefore a new suggested “waterfall” methodology to […]

Mar 2018 Swaps Review – SDR Data in 9 Charts

Continuing with our Swaps review series, let’s look at volumes in March 2018, focusing just on SDR Data. Summary: USD IRS volumes in 1Q 2018 are 11% higher than 1Q 2017 USD IRS On SEF Compression, a record month in Feb 2018 USD Swap Curve flattened by 12 bps over the month USD OIS volume exceeded the gross notional of USD IRS EUR, GBP, […]

Segregated Funds, Market Crashes & Under-Seg

Today I want to look briefly at the reported solvency of FCM’s during the most recent market panic. Back on February 5th of this year, the US equities market suffered a volatile day and significant losses. The Dow Jones index had its worst ever one-day loss in terms of points (down 1,175), and other indices […]

Cross Currency Swaps and Libor-OIS

USD can be funded domestically or in international funding markets. These two funding markets create natural links between Libor-OIS spreads and Cross Currency Basis. We saw record volumes in USD Libor-OIS trading over the past three months. We also saw record notional volumes traded in Cross Currency Basis during Q1 2018. However, when we look […]

LIBOR OIS – March 2018 Update

Libor-OIS spreads have recently started to retreat from the wides hit in the middle of March. 1 year Libor-OIS spreads in USD reached as high as 45.25 basis points. They have since traded as low as 40.25bp. Notional volumes across all indices in March hit all time highs, 3 times the levels seen in 2017. […]

Swaps Data: A MiFID-shaped hole

My monthly Swaps Review in Risk Magazine looks at: Global volume in Cleared USD Swaps at LCH and CME US Swap Execution Facility volumes US Off SEF volumes MiFiD II so far failing to provide meaningful data USD OIS Swap volumes The challenge for SOFR Please click here for free access to the full article […]

FRTB – Revisions to market risk capital requirements

The BCBS published a Consultative document in March 2018 with the title ‘Revisions to the minimum capital requirements for market risk” and in this article I look at the details. Background In January 2016, the BCBS published the standard Minimum capital requirements for market risk ( “January 2016 standard”), designed to address a number of structural shortcomings in […]

MIFID II Data – APA Market Share

MIFID II transparency is still falling well short of what the market needs. We can only estimate APA market share using a highly manual process. Our team have gathered data from the 5 largest APAs. We look at market shares across Sovereign Bonds. Same old gripes As we all know, MIFID II transparency is still […]

SONIA Market March 2018

The new SONIA benchmark becomes effective 23rd April 2018. The average maturity of a SONIA swap has doubled in 2018. Is this increase in duration evidence of a behavioural change in markets? SONIA Reform Regular readers will know that SONIA has been subject to a Consultation by the Bank of England, with the intention of […]