SOFR Futures and Swaps – June 2020

An update to SOFR Futures and Swaps – May 2020 Volume and Open Interest in SOFR Futures is down Swaps Volume also down, but OI is up US persons data shows activity recovering in June SEF volume remains much lower than Off SEF Clarus Data Products provide more insights Volumes and Open Interest In CCPView we can view both […]

LIBOR Discontinuation has been Preannounced

LIBOR will probably see an announcement towards the end of this year that it will be discontinued. This was announced by the FCA on 22nd June. This has moved markets already because it impacts the dates to be used to calibrate the fallback spreads. This means that we have already seen the last 6 month […]