Swap Volumes: SOFR v FedFunds

Back in February 2019, I wrote a blog on the state of the GBP and USD OIS markets. At that time, I held great hope for the USD SOFR markets to develop during 2019 to support a growing market in SOFR-based cash products and the derivatives used to hedge them. This blog looks at the […]

Swaps Data: Analysing the US rates collapse

My monthly Swaps Review looks at: USD Swap rates daily moves in 2019 YTD Highlighting the massive falls in August 2019 Putting these into historical context all the way back to 2008 The impact on Initial margin models The impact on CME-LCH-Basis and CCP Switch trades USD Swap volumes in August 2019 Please¬†click here for […]