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 […]
New Brexit Rules Move $4Trn Of Derivatives To The US
Brexit has moved over $4Trn in derivatives out of UK/European execution venues and onto US SEFs. Interdealer volumes in EUR and GBP products executed on US SEFs have increased by ~10 times in 2021. This is a consequence of certain products subject to a Trading Obligation in Europe (and the UK) executing on US registered […]
3 New Fed Fund Charts You Need to See
$2.5trn in OIS swaps versus Fed Funds were executed in December 2020. This compares to $364bn for SOFR OIS. We run through the data for the global market, the US market and the basis swap markets. As we continue to compile data for our response to the IBA Cessation of LIBOR consultation, a natural question […]
What’s new in CCP Quant Disclosures – 3Q20?
Clearing Houses just published their latest CPMI-IOSCO Quantitative Disclosures, which are for the quarter ending 30-Sep-2020, so lets look at what’s new in the data. Initial margin for IRS down 3% from the high on 31-Mar-20 Initial margin for CDS down 7% from the high Initial margin for ETD down 13% from the high Each as expected given the lower price volatility ASX and […]