What happened to reduce RFR trading?

March 2021 saw 8.8% of all derivatives risk traded versus an RFR. This reduced from the previous levels around 10%. The pre-cessation announcements last month do not appear to have accelerated RFR Adoption. There was an increase in the amount of IBOR-related activity last month. Overall for Q1 2021, the total amount of RFR activity […]

What’s new in CCP Quant Disclosures – 4Q20?

Clearing Houses just published their CPMI-IOSCO Quantitative Disclosures, lets look at what’s new: Initial margin for IRS remains close to record highs Initial margin for CDS down 12% from the high Initial margin for ETD down 15% from the high OCC and Eurex OTC IRS the only CCPs with IM QoQ up > 10% ASXCL, ICE Clear NL and ICE Clear SG are new additions to CCPView DTCC […]

Potential challenges of a synthetic LIBOR

Most active market participants were looking forward to the LIBOR cessation or pre-cessation announcement to provide certainty for the end of LIBOR. This was provided by FCA on 5th March 2021 as a pre-cessation or ‘loss of representativeness’ announcement which triggered many contracts to move to the fallbacks at a future date. However, another component […]

ESG Basics and Fundamentals in Fixed Income

What role can credit derivatives play in ESG-themed trading strategies? As we continue to explore the ever-expanding world of ESG-linked derivatives, we look at primary market issuance in 2021 and the links with the CDS market. Introduction There are many “beginner guides” to ESG out there. Of the many we’ve trawled through, I suggest checking […]

IR Futures – ADVs and OI in major currencies

We look at recent Average Daily Volume (ADV) and Open Interest (OI) of the major IR futures: Money Market and Bond Futures AUD, BRL, CAD, CHF, EUR, GBP, JPY and USD Relative size by ADV and OI on a comparable dollar notional basis Trends and market share in SOFR, SONIA and GBP Libor MM Futures […]

ESG Futures – S&P 500 and STOXX 600

In my recent article, ESG Investments – A first look at the detail, I noted that two of the major Equity Index Futures contracts, CME S&P 500 and Eurex STOXX 600 have ESG screened variants. In today’s article I look at the volume and open interest of these contracts. CME S&P 500 ESG Starting with […]

What’s New in USD Rates?

USD Rates volumes have returned to the levels we saw in March 2020. We look at whether these volumes are being driven by US Treasuries, bond futures or OTC swaps. Clarus provides volume data by tenor for all of these asset classes under a single data subscription. CCPView provides granular data on traded volumes across […]

SONIA is now the Benchmark Rate in GBP Markets

February 2021 saw 10.6% of all derivatives risk traded versus an RFR. This has now been stable around 10% for some time. We cover the pre-cessation announcements concerning LIBOR and the historic spread calibration that took place last week. There has also been a sharp move higher in the amount of long-dated SONIA risk being […]