Swaps Data: The race to replace Libor

My monthly Swaps Review in Risk Magazine discusses Libor and looks at derivatives volumes in the Alternative Reference Rates that have been selected to replace it. I look in detail at SOFR Futures, SONIA and EONIA Swaps. Please click here for free access to the full article on Risk.net.

MiFID II Best Execution RTS27 – What the Data Shows

MiFID II Best Execution RTS27, requires Trading Venuesand Systemic Internalisers (SIs) to make public relevant data on the execution quality for financial instruments subject to the trading obligation. This data is published quarterly, with a quarterly lag, so the Best Execution reports for 1Q 2018 are now available from many MTFs, OTFs and SIs. In […]

Mechanics of FRA Risks

Managing FRAs and Libor fixings on Swaps is complex. Short-end traders must balance their exposure between the Stub and STIR futures. Stub risk decays with time and changes with LIBOR fixings each day. It must therefore be carefully managed around event risks such as Central Bank meetings. IMM roll dates also result in PnL volatility […]

SONIA Term Rates

The Bank of England is running a consultation on term SONIA reference rates. We take a look at a complementary solution. We produce compounded SONIA in-arrears term fixings to help end-users adopt SONIA. Making Our Lives Easier François Jourdain, Chair of the Working Group on Sterling Risk-Free Reference Rates, recently stated that our industry needs […]

Capital and RWA for Tier 1 US Banks – 2Q 2018

Last year we wrote about Capital Ratios and Risk Weighted Assets for Tier 1 US Banks and that blog remains popular to this day. Today I will provide an update using the latest quarterly figures, to see if the trend we observed with US Banks increasing capital and reducing RWA has continued into 2018. Background The Basel […]

LIBOR OIS August 2018 Update

Libor-OIS spreads have collapsed since we last wrote about them in March. 1 year Libor-OIS spreads in USD have retreated to under 30 basis points. Notional traded has continued to be higher than in 2017. Cross currency basis has also moved tighter. We also take a quick look at OIS future volumes. Libor OIS Our Libor-OIS blogs […]

USD Spreadovers and SEF Market Share

Spreadovers account for roughly 35% of all USD risk traded on-SEF. In D2D USD swap markets, Spreadovers account for about 70% of volumes. This makes them by far the most important packages traded in USD. Almost all Spreadovers are transacted on a SEF. We look at D2D SEF market share in USD swaps. History We […]

How are Futures on Bitcoin doing?

We last looked at Bitcoin Futures in January 2018, shortly after their launch by CBOE and CME, so high time to re-visit these to see how volumes have performed. Monthly Volumes In SEFView we collect daily volumes and aggregating these to look at YTD monthly volumes. Growth since January, but certainly not one that requires […]

More SOFR Swaps are Trading

Fannie Mae recently issued its first ever securities linked to SOFR (see here for details). The issuance was $6 billion in size, settled on 30 July with 6m, 12m and 18m tranches. So I wanted to update our recent SOFR Swaps Are Trading blog and see if this bond issue has led to any more […]