SOFR Swap Nuances

This week, we take a look at the world of SOFR swaps and some of the intricacies associated with trading these OIS products. Nuance 1: Reset Lag and Payment Lag (courtesy of the Clarus blog) Overnight Index Swaps have a peculiarity concerning the fixing date (or publication date) of the underlying overnight rates. The fixing […]

RFR Data: Where is the €STR risk?

The ISDA-Clarus RFR Adoption Indicator has been published for August 2020. The headlines are: The RFR Adoption Indicator was at 6.4% in August 2020. This was pretty unchanged from 6.8% the prior month, and short of the highs hit in January 2020. 3.6% of all USD risk was traded in SOFR vs 3.8% last month, so no great change there. […]

SGD Rates: SORA and the Fallback Rate (SOR)

A new Fallback Rate (SOR) will be used on SOR-referencing contracts in the event of a cessation of USD LIBOR. This rate should not be used in any new derivatives, and is only expected to be published for a period of about three years. As Clarus highlighted during the original ISDA consultation, the Fallback Rate […]

40% of the GBP Market Trades Versus SONIA

The ISDA-Clarus RFR Adoption Indicator includes currency specific measures on how much RFR risk is trading. These values are available as interactive charts on rfr.clarusft.com. Notable adoption of RFRs has occurred in both GBP markets (40%) and CHF (8%). We look at each of the six currencies covered by the indicator in this blog. Data […]

US Treasury Quarterly Refunding: Traded Volume Data

Clarus data for August 2020 shows a big increase in 30Y traded volumes in Rates products. This was specifically in USTs and exchange traded derivatives. Long-dated OTC derivatives did not see the same increase. The 20Y and 30Y US Treasury auctions, as part of the quarterly refunding cycle, were clear drivers of this volume. However, […]

Valuation challenges for non-cleared derivatives

The past few months I have been looking closely at the potential for valuations challenges over the last months and days of LIBOR with a potential cliff and wall as we approach December 2021. The rather benign pricing in the market predicts a very gradual ‘glide’ into the end but this may not actually be […]

Calculate your own RFR Adoption Indicators

The ISDA-Clarus RFR Adoption Indicator provides a set of monthly metrics that firms can use to monitor the progress of RFR trading in IRD markets, both ETD and OTC. In this article, I explain why firms should also calculate RFR Adoption Indicators for their own trading. Background For those of you not yet familiar, below […]

YouTube: Markets and COVID-19

The presentation that I gave at the CFTC’s Market Risk Advisory Committee on July 21st is now available to view. The section on Derivatives Markets during COVID-19 is well worth a watch, covering content from ourselves, Bloomberg and Tradeweb. Have a click through to watch it all, and make sure to listen to the closing […]

RFR Data: SOFR Sees Record Risk Traded

The ISDA-Clarus RFR Adoption Indicator has been published for July 2020. The headlines are: The RFR Adoption Indicator was at 6.8% in July 2020. This moved higher from 4.7% the prior month, reaching the highest level since February. Of particular note, 3.8% of all USD risk was traded in SOFR. This was higher than the […]

CCP Volumes and Share in CRD and FXD – 2Q 2020

I recently looked at CCP Swap Volumes and Share – 2Q 2020 for Interest Rate Swaps, so today I will do the same analysis for Credit Derivatives and FX Derivatives. USD CRD Starting with Credit Derivatives in USD, both Indices and Single-names. 2Q 2020 with $2.65 trillion, up from the $2 trillion in 2Q 2019 […]