Libor Reform – What You Need to Know

Libors and Risk Free Rates are going through a period of change. Regulators and industry working groups are identifying their preferred Risk Free Rates in preparation for a post-Libor world. Over the next 4 years, derivatives market liquidity will transition into products referencing Risk Free Rates instead of Libors. This will impact new trades and […]

SONIA Reform – What is Going On?

There are two parallel branches to the SONIA reforms. One is to modify how the rate itself is being set. The other is to promote its’ use as the near Risk Free Rate for GBP derivative markets. We take a look at current SONIA markets. *Updated 18th May 2017 to correct the use of trimmed-mean (not median) […]

Euribor Reform – What Is Going On?

European Money Markets Institute (EMMI) announced on Thursday 5th May that they will reconsider their plans to move Euribor to an entirely transaction-based fixing. It was previously expected that the current quotation-based system would change sometime this year to a transaction-based fixing. The EMMI now plans to look into creating a hybrid quotation/transaction fixing as […]

Fed meetings and OIS Volumes

Volumes in FOMC dated OIS swaps surged past $1.3 trillion last month Only 57% of this volume was cleared at a CCP, which is surprising We interpret the price action via the Clarus Fed Pulse Index Paying FOMC dated OIS structures now looks attractive Amir last week highlighted the surge in USD OIS Volumes we […]

Why Is There No Mainstream Swap Index?

All firms benchmark their performance.  It’s relatively straightforward to compare your investment returns to the S&P 500, Dow Jones, Investment-Grade credit, or simply government bonds. All of these are simple because they have clear indices.  As such, you can look at the level of the S&P 500 on Day X and Day Y, and come up […]

Fed Pulse – A New OIS Index

We use SDR USD OIS Volume and Price data to derive a new Fed Pulse Index The index construction takes all FOMC meeting-dated OIS that are traded across the yield curve This allows us to make maximum use of all price and volume data embedded within OIS trades Allowing us to “take the pulse” of the FOMC […]

Fed Surprises in the USD OIS Data

We provide an update to our USD OIS Volumes blog from earlier last year. Highlighting that OIS structures that run from one FOMC meeting date to the next are the most common trades. This gives us a unique insight into market consensus pricing for the exact FOMC dates, unlike the 30-day Fed Fund futures contracts. We can therefore […]

Fed Surprise Indicators

We use price and volume data to measure the “surprise factor” of the Fed’s rate hike last week OIS volumes were impressive, near to the highest day all year… …with evidence of a preference towards cash-settling derivative trades We suggest different ways of using the volume data to measure the degree of surprise in the […]

SDRFix, what do we mean when we say transparent?

Following on from my article on SDRFix, a Progress Report Two weeks after launch, I wanted to explain what we mean when we say that SDRFix is publicly available and transparent. The publicly available, requires no deep explanation. Anyone can go to sdrfix.com and see the index data. However transparent is a much used word […]