SOFR – What you need to know

Major markets across our industry are looking to transition (some) liquidity away from Libor-based products and towards Risk Free Rates. We’ve variously looked at Libor Reform, Euribor, SONIA and SARON but so far have not done a deep dive into new RFRs in the US. SOFR – What is it? As we reported in our […]

OIS Volumes – What is the Trend?

We summarise the portion of risk that is traded as OIS across seven major markets. Benchmark reforms around the globe are helping transition trading away from Libor into Risk Free Rates. We can monitor the progression of these reforms by looking at the current state of play in each market. OIS Changes The 1 year […]

USD Libor is changing!

ICE are planning to change the calculation methodology for LIBOR. LIBOR is not currently (April 2018) transaction based – it remains a survey. ICE would like to change this so that it can be based on transactions, but not all Libor tenors see transactions every day. There is therefore a new suggested “waterfall” methodology to […]

Cross Currency Swaps and Libor-OIS

USD can be funded domestically or in international funding markets. These two funding markets create natural links between Libor-OIS spreads and Cross Currency Basis. We saw record volumes in USD Libor-OIS trading over the past three months. We also saw record notional volumes traded in Cross Currency Basis during Q1 2018. However, when we look […]

LIBOR OIS – March 2018 Update

Libor-OIS spreads have recently started to retreat from the wides hit in the middle of March. 1 year Libor-OIS spreads in USD reached as high as 45.25 basis points. They have since traded as low as 40.25bp. Notional volumes across all indices in March hit all time highs, 3 times the levels seen in 2017. […]

SONIA Market March 2018

The new SONIA benchmark becomes effective 23rd April 2018. The average maturity of a SONIA swap has doubled in 2018. Is this increase in duration evidence of a behavioural change in markets? SONIA Reform Regular readers will know that SONIA has been subject to a Consultation by the Bank of England, with the intention of […]

Libor OIS – What is Going On?

Libor OIS spreads have been widening. Trading volumes across these products have also shown a spike in activity. We look at price-volume charts and DV01 figures for OIS swaps. We also update our CHF SARON OIS volumes, where a total of CHF37.5bn has now traded versus this new index. Libor OIS Spreads Last week, it […]

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 […]