A Look at SOFR Swaption, Cap/Floor, and Exotic Trade Levels
April 9, 2021 - At long last, trading volumes for SOFR-based caps and floors seems to be gaining some momentum though other SOFR-based options are picking up at a much slower pace. Comparing these volumes to the SONIA in the UK, it is evident that there is still a very long way to go, however.
It's also interesting to note that SOFR OIS is now trading at higher volumes than SOFR basis swaps, which is similar to how the trend went for SONIA, where the volume is now much greater.
The graphs below summarize the data available from ISDA's weekly derivatives trade reporting:
Trade Count for SOFR-based Swaptions, Caps/Floors & Exotics
Trade Count for SOFR-based Swaps
Trade Count for SONIA-based Swaptions, Caps/Floors & Exotics
Trade Count for SONIA-based Swaps
Please visit www.pasVal.com for more information.
About Principia Partners
Principia Partners LLC provides solutions for derivative and fixed income operations. Global financial institutions and independent asset managers have used the award-winning Principia Analytic System since 1995 to unify valuations, portfolio management, risk surveillance, hedge accounting and operational control across the breadth of fixed income and derivative products. In 2015, Principia launched its Analytic Service, pasVal, to make its award-winning pricing and analytics available to an even broader range of businesses.