As we note today in What did January teach us about RFR trading, SOFR Swap and Futures volume hit an all time high of 28.4% of all USD risk traded, which is up 3% from the prior month. CME also put out a press release, noting SOFR Futures and Options record volumes on February 10, […]

USD Swaptions activity hit all time records in March 2021. Driven by the large sell-off in Fixed Income markets, we see particular evidence in 5Y tails of convexity hedging in Swaptions markets. We analyse the activity by strike and underlying (tails). For once, we are playing catch-up here. Chris Whittall over at IFR brought to […]

Over £673bn in SONIA OIS swaps have traded at negative rates in 2021. Expectations for negative rates have been severely reduced since the last MPC meeting. This year, swaps as long as 4 years have recorded negative rates. We look at what has traded and current timing expectations. In May of last year, I wrote […]

We cover SOFR Swaps and other RFRs on a regular basis, so I thought today it would be interesting to see if Swaptions and CapsFloors that reference SOFR are trading. Swaptions Using SDRView, we can search for Swaptions in USD and categorize by reference index. Libor trade counts are in the range 350 to 1,700 […]

HKD Interest Rate Derivatives are the 5th most traded APAC currency. They trade in a range of maturities out to 30 years, but the block thresholds and lack of SEF market prevent us seeing the true size of trades. USDHKD FX Options are at least a $750bn per month market. Transparency in this market also […]

SOFR vs FF Basis Swaps, a new high in Sep-19 of $19 billion SOFR Outright Swaps, less trades and notional than Aug-19 SOFR Swaps were mostly Off SEF and Cleared For On SEF, tpSEF reported the most trades Oct-19 volumes are shaping up to exceed Sep-19 LCH SwapClear reported $45 billion notional in Sep-19 Clarus […]

Clarus SDRView consolidates all Swap or Trade Data Repositories that publish transaction level data and have meaningful volume. As only the United States and Canada have transaction level public reporting, our focus has been on these jurisdictions, which provide by far the most interesting and useful data. European, Japanese, Australian, Singapore and other jurisdictions have […]

SOFR Swap trade counts hit a new high in August Outrights and Basis both much higher than prior months Outrights are all Off SEF with a significant portion Uncleared Basis are mostly On SEF (by trade count) TP-ICAP with tpSEF and TraditionSEF vying for top spot 5Y is emerging as the most frequently traded tenor […]

Swap Spreads, aka Spreadovers, have recently turned negative again in the US. They rebounded back into positive territory fairly quickly. This is against a background of all-time record volumes in USD swaps reported to US SDRs. Should Swap Spreads be at zero versus SOFR after LIBOR disappears? Negative Again In case you missed it, Swap […]

We take a look at the total size of uncleared derivative markets. FX Options are the largest Uncleared market, followed by Swaptions and NDFs. Cross Currency swaps are the fourth largest uncleared market. Around $5.5trn each month trades uncleared – almost equivalent to the US market for cleared IRS. Uncleared Markets The death of uncleared […]