Anonymous Trading on SEFs
The 1st November 2020 heralded a fundamental change in swaps markets. SEFs executing trades in specific products were no longer permitted to disclose the identities of the counterparties (to each other) after the trade: At the moment, this rule only applies to MAT swaps – i.e. those products subjected to the execution mandate and required […]
SOFR Swaps on SEFs
Last week I looked at Swap Volumes in October 2020 and focused primarily on SOFR Swaps and Futures at Clearing Houses, so this week I am going to look at Swap Execution Facilities (SEFs). D2D SEFs Let’s start by using SEFView to look at D2D SEFs, where the main product is SOFR v FedFunds Basis […]
ISDA-Clarus RFR Indicator: SOFR, So Good
The ISDA-Clarus RFR Adoption Indicator has been published for October 2020. The headlines are: The RFR Adoption Indicator hit 11.6%, a new all time high. This was up from 10.5% the prior month. 9.7% of all USD risk was traded in SOFR vs 5.8% last month, reflecting the increase in SOFR activity as a result of the CCP discounting change. […]
Swap Volumes in October 2020
In the transition from LIBOR to SOFR, the recent change by Clearing Houses to discount swaps using a SOFR curve instead of a FedFunds curve has long been trailed as a key milestone for higher volumes in SOFR derivatives. In today’s blog I look at how SOFR Swap volumes did in October 2020. I also […]
Libor pre-cessation announcement – risk challenges for non-cleared derivatives
In August I looked at the potential for valuation challenges as for non-cleared derivatives. This month I will cover the additional challenges for risk management and reporting that would arise with a pre-cessation announcement. A LIBOR pre-cessation announcement from the FCA could occur by the end of 2020. This was first discussed publicly in June […]
Libor Fallback Trade Valuations – A single trade example
As the financial industry moves towards the replacement of LIBOR the question asked is changing from what does IBOR Reform mean, to how I manage IBOR reform? A key subsequent question is “What is the change in value/change in risk of my LIBOR trade if it goes onto Fallbacks?” I thought that it would be […]
ISDA SIMM v2.3 – What’s Changed?
ISDA SIMM v2.3 is effective December 5, 2020 Updated with a full re-calibration and industry backtesting Initial Margin will change for your portfolios The change can be non-material or significantly higher or lower In this article I highlight some of the changes in risk weights However to quantify the actual impact of SIMM v2.3 You need to run […]
SONIA Day 2 – LIVE Blog
COVID-19 has derailed many plans. One such plan was for interbank GBP swaps trading to move from LIBOR to SONIA on March 2nd. With the market volatility around that date, it just didn’t happen. We covered the subsequent changes in GBP activity here, here and here. The COVID-19 situation isn’t any better right now, but […]
CCP Swap Volumes and Share – 3Q 2020
In today’s blog, I look at interest rate swap volumes and CCP market share in major currencies, focusing on 3Q 2020 in a similar format to my 2Q 2020 article. After the massive volatility and volume we saw in Q1 and the quieter Q2, what does the most recent quarter show? Keep reading to find out. USD […]
SOFR Live Blog
Please scroll down/click here for the latest updates. This blog covers both Monday October 19th and Friday October 15th in the SOFR market. LCH SOFR Auction With the LCH SOFR auction now a matter of hours away, we thought it would be worthwhile updating on the activity in SOFR markets. Yesterday was an all-time record […]