LIBOR Discontinuation has been Preannounced

LIBOR will probably see an announcement towards the end of this year that it will be discontinued. This was announced by the FCA on 22nd June. This has moved markets already because it impacts the dates to be used to calibrate the fallback spreads. This means that we have already seen the last 6 month […]

ISDA Fallback Spreads – Predicted and Alternative Scenarios

ISDA continues to make progress towards providing more certainty about the way forward for derivatives post LIBOR. This includes the calculation of the ‘fallback spread’ which is to be applied to the preferred fallback compounding methodology to minimize value transfer when the fallback is triggered. The fallback spread is calculated as the 5-year median difference […]

SOFR Futures and Swaps – May 2020

Open Interest in both Futures and Swaps is increasing Record volumes in recent months Volumes by CCP or SEF Basis and OIS Swap products Clarus Data Products provide insights Monthly Volumes in 2020 In CCPView we can view both volume and open interest by month. CME ETD with $5.2 trillion of Futures volume in Mar-20, […]

Cross Currency Swap conventions in an RFR world

In January 2020, the ARRC published the final recommendations for cross-currency swap conventions. It should be noted that the recommendations are primarily directed towards dealer-dealer trades and the publication points out that dealer-end user trades may require different structures. I have commented previously on potential options in AUD markets and more generally for other currencies. […]

What has happened to USD LIBOR Fallback Spreads?

The fallback spread is an essential component of the LIBOR cessation plan and represents the credit and liquidity component of LIBOR relative to Risk Free Rates (RFRs). In a case where a benchmark like USD LIBOR ceases to publish, fallbacks such as compounded SOFR plus the spread are used to replace the failed benchmark. ISDA […]

Benchmarks in times of high volatility

Important current benchmarks like LIBOR, other IBORs and ICE SwapRate can have challenging characteristics during periods of high volatility. In some cases, price discovery can be difficult, which can be costly for some users and conversely rewarding for others. In this blog I will look at a few of the current benchmarks and some of […]

SONIA Update

70% of GBP risk transacted last week was in SONIA. Just 7.6% of GBP notional cleared at LCH SwapClear was in LIBOR last week. In these extremely volatile markets, much of this activity is due to large amounts of short-dated risk trading. 91% of SONIA risk was in short-dated tenors (2 years and shorter). There […]

‘Dear CEO’ letters to Asset Management Firms

On the 27th February 2020, the UK FCA wrote to asset management firms to emphasise the need to prepare for LIBOR to likely become unusable after December 2021. This extended previous ‘Dear CEO’ letters from 2018 to major banks and insurers and was designed to ensure firms are well prepared for LIBOR cessation. As we […]


Today has been circled in the calendar for a while now. Monday 2nd March is intended to see a change in GBP swap markets. From now on, the market convention should be to trade SONIA swaps instead of LIBOR. We covered the original announcement in this blog. 19:24 London Final post for this live blog. […]

Trading RFRs

Clarus will be talking about trading RFRs at the ISDA/SIFMA AMG Benchmark Strategies Forum 2020 in London next week, February 26th 2020. For more information on the event and to register, please check out the event details page. It is free to attend for the buyside. Among the topics, you will hear our thoughts on: RFR […]