Marc Henrard - Multi-curve framework

We are living in strange times. Most of the conferences, which used to be a good places to meet with like minded people and listen to interesting talk, are now online. Some of them are starting again to plan some physical presence. By moving online, we have lost the " meeting people " part of the conferences, but we can still hope to keep the " interesting talk " part. The traveling time to conference is reduced, but content quality should not decrease. The price of the conference is reduced as the local catering (room, food, etc.) has almost disappeared. But I'm surprised that many conference organizers use the "on-line" excuse to cancel speaker fees. I receive many invitations to the "main" quantitative finance conferences indicating that "speaker budget has been cut due to the pandemic" and that there are only "sponsored" talked at those conferences. It means that the only speakers they have are biased sponsored spea...

Good to see that the Yield Futures design that I proposed almost 10 years ago is finally trading. CME has announced a “strong liquidity on launch day” for its Treasury Yield Futures . Some notes on the design I proposed are available as a blog: Risk-based futures and a working paper for the overnight-linked version: Risk-based overnight-linked futures - innovative design . Originally the design was proposed with several variants for the underlying (LIBOR swaps, OIS, bond/treasury) and delivery mechanism (cash settled or physical settled, notional based or risk based delivery). All the variants have the same mechanism as their main feature: quoted in yield and PV01/risk based daily settlement.  In some sense it was not even an original design as the fixed PV01 mechanism was already used for LIBOR futures. But the extension to other products was new and the idea of smooth risk at delivery was also new. Unfortunately the smooth risk feature has not be retained by CME. The futures a...

SOFR First started on 26 July. We now have two weeks of data. The result is somehow mixed. On the LCH front, the volume has decrease significantly last week with respect to the previous one (SOFR First initial week).  The volume is roughly the same as in end of May. On the ISDA figure side (from US regulatory figures), the absolute volume is slightly up but the proportion of SOFR with respect to LIBOR is down; it is below 8%. Still far away from SOFR First !

No change on the EUR side at LCH. The volumes have not really moved in the last 5 months. I could not find volume figures on EUREX site (let me know if those figures are public somehow), so I don't know if a significant part of the volume is now trading at EUREX rather than at LCH. As mentioned last month, LCH has changed its reporting mechanism and does report only below 2Y numbers and does not split it any more in below 1Y and 1Y to 2Y. This is really unfortunate as the different OIS term rates are in discussion. Those term rates are based on liquid quotes for 1-month, 3-month and 6-month periods. It is of great importance to see the actual liquidity in those buckets. Removing the split is removing a very interesting piece of information in relation to the transition. On the CHF side, there was a significant increase over July. But it is only a small victory in the sense that it is only the first time that the volume is above the February 2020 volume (18 months ago). Good incr...

In August 2017, I started a series called " Game of Benchmark: Season 1 " with a catch-line Game of Benchmarks: a no-fantasy series with no blood and no sex but plenty of greed, manipulation and money. The Episode 1 was titled " the king is dying " and I asked "Where is the successor?" In the mean time, the king has proved to be more resilient than expected and his death has been delayed to July 2023. The grace period has been accompanied with new announcements that may partly answer to the question I asked four years ago: Where is the successor? With the slow king death in the background, some foreign powers have tried maneuvering to push a new officer in power. In this context the term foreign should be understood in part as meaning of a different country but also belonging to another area. The other country is obviously referencing to the UK FCA that, not so subtlety, tried to interfere with the USD market. But maybe more importantly the LIBOR was a mar...