SOFR Swap Volumes – October 2019
SOFR vs FF Basis Swaps, a new high in Sep-19 of $19 billion SOFR Outright Swaps, less trades and notional than Aug-19 SOFR Swaps were mostly Off SEF and Cleared For On SEF, tpSEF reported the most trades Oct-19 volumes are shaping up to exceed Sep-19 LCH SwapClear reported $45 billion notional in Sep-19 Clarus […]
CAD Rates Markets and CORRA Reform
Canadian Rates markets look to be in an especially strong place from a market infrastructure viewpoint. CAD IRS trades versus a term rate, CDOR, which is based on real quotes from six panel banks. The underlying market for CDOR, Banker Acceptances, is a growing market of significant size (CAN$85bn outstanding). Meanwhile, OIS trading vs CORRA […]
NDF Clearing September 2019
CFTC data shows a sharp increase in NDF clearing since July this year. September 2019 was a record month for the notional of NDFs cleared. BIS data shows that NDF markets doubled in size between April 2016 and April 2019. Is Phase 4 of the Uncleared Margin Rules accelerating the uptake of NDF clearing? SDRView […]
CPMI-IOSCO Quantitative Disclosures 2Q 2019
Clearing Houses 2Q 2019 CPMI-IOSCO Quantitative Disclosures are now available, so lets look at what the data shows, similar to my CCP Disclosures 1Q 2019 article. Summary: Initial Margin for IRS is up 11% in the quarter and 18% in a year IM for CDS and ETD was flat in the quarter and up 12% in a year […]
Swaps Data: Are RFRs on track to replace Libor?
My monthly Swaps Review looks at: USD SOFR Futures and growth in open interest USD SOFR Swaps outstanding notional GBP Libor and Sonia Swaps Tenor breakdown of Sonia Swaps Sonia Futures growth in open interest Please click here for free access to the full article on Risk.net.
Tools for IBOR Transition Management
Today we put out the press release, Clarus Financial Technology releases IBOR Transition Management Tools and in this blog I wanted to provide more details on our offering. Before I do that, another point to note is that we recently authored a whitepaper with our friends at Finastra, titled “IBOR Transition Made Simple“, which is […]
ISDA September 2019 Consultation on Final Parameters
The final piece of the LIBOR-cessation puzzle is about to be completed. We’ve previously looked at how RFRs can be used to replace a range of ‘IBOR indices. Now we look at the exact parameters that will be used to calibrate the ‘IBOR- RFR spreads. Historic Calibration Market consultations from ISDA have led to the […]
BIS Triennial Survey 2019
Trading reached $6.5trn per day in Interest Rate Derivatives during April 2019. Our markets have grown at unprecedented levels in the past three years. The BIS used our own CCPView data to cross-check the survey results. BIS IRD Volumes in April 2019 The latest BIS survey data is now available. Performed once every three years, […]
SOFR and FedFunds Rate Comparisons
SOFR has been topical for over a year as markets become more used to the near-new USD Risk Free Rate (RFR). The ARRC identified SOFR as the preferred replacement for USD Libor in 2017 and has stated: ‘The ARRC has identified the Secured Overnight Financing Rate (SOFR) as the rate that represents best practice for […]
SOFR Fixed at 5.25%. What happened to the volumes?
We are all repo traders now. SOFR has been volatile in the past week fixing from 2.20%, 2.43%, 5.25% (!) before back to 2.55% yesterday. We analyse the volumes that make up the fixing and the SOFR IRS volumes. For those that missed it, SOFR fixed at a scarcely believable 5.25% on 17th September. Surrounding […]