Monitoring your own RFR Adoption Indicators
Last summer I wrote Calculate Your Own RFR Adoption Indicators to explain why it was important on IBOR Transition projects to benchmark and monitor your own firms adoption rate versus the market. In a nutshell, your project needs to know if your firm is lagging, leading or in the middle of the pack and respond […]
Here is what is happening to derivatives market liquidity right now
The price of liquidity in USD swaps has risen in 2021 relative to 2020 when measured by Price Dispersion. However, USD Swap markets saw huge volumes traded during February 2021, showing that liquidity has still been available. Our analysis shows that the price of liquidity has increased as volatility increased. Everyone is talking about the […]
SOFR Futures and Swaps – Feb 2021
February 2021 was an interesting month in interest rate markets with the volatility in US Treasuries showing up in many products. Today I look at what happened to volumes in derivatives referencing SOFR. Volume and Open Interest in SOFR Futures Volume and OI in SOFR Swaps SOFR Swaps at US SDRs SOFR Swaps on SEFs Clarus Data provides […]
What is happening now with negative rates in the UK?
Over £673bn in SONIA OIS swaps have traded at negative rates in 2021. Expectations for negative rates have been severely reduced since the last MPC meeting. This year, swaps as long as 4 years have recorded negative rates. We look at what has traded and current timing expectations. In May of last year, I wrote […]
ESG Investments – A first look at the detail
We have all seen ESG, as in Environmental, Social and Governance, bandied around as a new(ish) buzz word in Finance, so today I wanted to take our first dive into this topic. Background We can define ESG as a set of non-financial factors that are used as criteria to compare a companies impact on the […]
SOFR Swaptions and CapsFloors are now trading regularly
We cover SOFR Swaps and other RFRs on a regular basis, so I thought today it would be interesting to see if Swaptions and CapsFloors that reference SOFR are trading. Swaptions Using SDRView, we can search for Swaptions in USD and categorize by reference index. Libor trade counts are in the range 350 to 1,700 […]
Did You Know That The New Amount of SOFR Risk Hasn’t Changed for 3 Months?
The latest ISDA-Clarus RFR Adoption Indicator has just been published for January 2021. It is quite incredible how stable it has been recently. The overall Adoption Indicator was again at 10.0%, identical to December 2021. This means that 10.0% of all of the derivatives Rates risk transacted during January 2021was versus a Risk Free Rate. […]
US SEFs now have 20-40% of European Derivatives
Following up on our analysis of the Brexit effects on Rates markets and Credit markets we estimate how much of the swaps market is now executing on-SEF. The extent of the move varies from currency to currency and between Interbank markets and their Clients. We look at each market in turn. The Irony The laws […]
Have You Seen This New Idea for Execution Analysis?
In a quick blog today I summarise a recent report from the FICC Markets Standards Board about execution analysis in our markets. And suggest a potential way forward… The Who? First off, it is worth highlighting the role the FMSB intends to play in our markets: In their own words: The Fixed Income, Currencies and […]
US SEFs now have 50% share of EUR iTraxx
We covered EUR iTraxx very briefly in last weeks blog New Brexit Rules Move $4trn of Derivatives to the US, so today I will take a deeper look into these Credit Index Derivatives volumes. SEF Volumes Using SEFView we can isolate gross notional volumes in EUR Credit Index Derivatives, meaning the iTraxxEurope family. Showing a […]