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 […]

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 […]

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 […]

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 […]