Term Risk Free Rates from FX Forwards

The case for a Term Risk Free Rate (TRFR) to support the transition of cash instruments and products has been made by BoE and US ARRC over the past year. The TRFR is defined as a rate known in advance (similar to the current Libors) but based on RFRs in the relevant currency.
But the issue of how to construct an IOSCO-compliant TRFR has been a challenge for market participants and benchmark administrators.

USD SOFR Volumes June 2019

SOFR traded notional hit $50bn in monthly notional for the first time. We take a look at the details of some of the block trades that drove this notional higher. LCH data shows that the amount of risk traded has been between $4m and $10m DV01 during May and June. We show how our data […]

SEK STIBOR Reform

The Swedish Banker’s Association is looking to introduce an Alternative Reference Rate for SEK markets. At the moment, STIBOR is the underlying index for SEK swaps. There are on-going consultations to introduce a Risk Free Rate in Swedish markets. We take a look at the details. SEK Markets Today As it stands today, there are […]

Cloud Security – What you need to consider

In this article we look at cloud security.  With all the hype around Cloud, it’s easy to make assumptions as to what it can do, but security is an area where making assumptions can prove very costly, both financially and reputationally.  This blog will look at the cloud security model, security features offered by cloud […]