LIBOR Reform – Latest Developments

Clarus will be talking about Libor reforms at the FoW Derivatives World event in London tomorrow, December 6th 2017. For more information on the event and to register, please check out the link below. It should be free to attend for most of our readers. FoW Derivatives World London Libor Reform Before we end 2017, […]

We found the CHF SARON Swaps!

The first CHF SARON swaps have appeared in SDR data. This reflects broader uptake of SARON across more trading counterparties. We are keeping a close eye on SARON volumes as it is somewhat of a test case for broader Libor reforms. Cleared data shows increased Open Interest at LCH, but daily volumes continue to be […]

CHF SARON – What is Going On?

CHF OIS and swap markets have transitioned from TOIS to SARON. TOIS will cease to exist from the end of this year. SARON is the new “Risk Free Rate”. LCH SwapClear now clear SARON swaps. We can see some activity in the data. What is Going On? According to Gottex Brokers; “The ability to clear […]

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 […]