SOFR Futures and Swaps – May 2020
Open Interest in both Futures and Swaps is increasing Record volumes in recent months Volumes by CCP or SEF Basis and OIS Swap products Clarus Data Products provide insights Monthly Volumes in 2020 In CCPView we can view both volume and open interest by month. CME ETD with $5.2 trillion of Futures volume in Mar-20, […]
Will GBP Interest Rates go negative in the UK?
Over £55bn in SONIA OIS swaps have traded at negative rates. The lowest recorded rate so far was close to minus 6 basis points. Swaps all the way out to 4 year maturities have traded in negative territory. When does the market expect negative rates and how large will the cut be? Negative Yields on […]