What happened to reduce RFR trading?

March 2021 saw 8.8% of all derivatives risk traded versus an RFR. This reduced from the previous levels around 10%. The pre-cessation announcements last month do not appear to have accelerated RFR Adoption. There was an increase in the amount of IBOR-related activity last month. Overall for Q1 2021, the total amount of RFR activity […]

Potential challenges of a synthetic LIBOR

Most active market participants were looking forward to the LIBOR cessation or pre-cessation announcement to provide certainty for the end of LIBOR. This was provided by FCA on 5th March 2021 as a pre-cessation or ‘loss of representativeness’ announcement which triggered many contracts to move to the fallbacks at a future date. However, another component […]

SONIA is now the Benchmark Rate in GBP Markets

February 2021 saw 10.6% of all derivatives risk traded versus an RFR. This has now been stable around 10% for some time. We cover the pre-cessation announcements concerning LIBOR and the historic spread calibration that took place last week. There has also been a sharp move higher in the amount of long-dated SONIA risk being […]

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 […]

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 […]

Toxic FRAs, Fallbacks and Single Period Swaps

Whilst we continue drafting responses to the pivotal ICE consultation on LIBOR cessation, I have been looking through the data to see how LIBOR cessation is already changing trading behaviour. Away from the global RFR Indicator, which looks at all linear derivatives, there are certain products that have already been affected. Most notably, the FRA […]