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 […]
LCH SOFR Auction Versus The Market
Update 09:45am EST 15th October. The final size of the LCH SOFR portfolio is now confirmed. It is about 15% smaller than the analysis below, at $9.1m gross DV01. The ISDA-Clarus RFR Adoption Indicator has been published for September 2020. The headlines are: The RFR Adoption Indicator increased to reach close to the January high. It was at 9.5% in […]
CCP Quant Disclosures 2Q20 – IM drops
Clearing Houses 2Q 2020 CPMI-IOSCO Quantitative Disclosures are now available, so lets look at what the data shows. Summary: Initial margin for IRS is down 2% QoQ and up 33% YoY Initial margin for CDS is flat QoQ and up 51% YoY Initial margin for ETD down 13% QoQ and up 58% YoY Most CCPs with lower IM QoQ, as […]
CME Volumes
CME volumes have hit $200Trn in some months this year. This is in Interest Rate Derivatives alone. The mix is roughly 60/40 Bond Futures versus Eurodollar futures. CCPView has now introduced volumes measured on a per contract basis, allowing for cross asset class comparisons. Interest Rate Derivatives CME is huge in Interest Rate Derivatives. Just […]
New Block Trading Rules for Derivatives
Amended 7th October 2020 to correct the changes to block and cap thresholds to 67% and 75% respectively. The block threshold for Swaps, and all other OTC derivatives, is changing. The thresholds for trades qualifying for block status and the reporting cap for notional amounts are also diverging. This will substantially increase transparency in the […]
Market Share in EUR Swaps
The recent news that ESMA to recognize three UK CCPs from 1 January 2022, has been well covered in the press e.g. see Reuters. The equivalence decision for a time limited period of 18 months, from 1 January 2021 to 30 June 2022, applies to ICE Clear Limited, LCH Limited and LME Clear Limited. And […]
Spreadovers vs SOFR
LIBOR swaps traded on spread to US Treasury bonds make up about 70% of interdealer liquidity. The floating leg of these swaps is about to be discounted at SOFR. This could lead the Spreadover market to start trading versus the SOFR index itself. We look at the differences between a LIBOR spreadover and a SOFR […]
SOFR Swap Nuances
This week, we take a look at the world of SOFR swaps and some of the intricacies associated with trading these OIS products. Nuance 1: Reset Lag and Payment Lag (courtesy of the Clarus blog) Overnight Index Swaps have a peculiarity concerning the fixing date (or publication date) of the underlying overnight rates. The fixing […]
RFR Data: Where is the €STR risk?
The ISDA-Clarus RFR Adoption Indicator has been published for August 2020. The headlines are: The RFR Adoption Indicator was at 6.4% in August 2020. This was pretty unchanged from 6.8% the prior month, and short of the highs hit in January 2020. 3.6% of all USD risk was traded in SOFR vs 3.8% last month, so no great change there. […]
SGD Rates: SORA and the Fallback Rate (SOR)
A new Fallback Rate (SOR) will be used on SOR-referencing contracts in the event of a cessation of USD LIBOR. This rate should not be used in any new derivatives, and is only expected to be published for a period of about three years. As Clarus highlighted during the original ISDA consultation, the Fallback Rate […]