TP ICAP launches two data sets for SOFR derivatives

Data sets for derivatives linked to SOFR will support trading and risk modelling as volumes are expected to rise.

The data and analytics business at TP ICAP has launched two data packages for derivatives that are linked to the Secured Overnight Financial Rate (SOFR) index.

Sourced from the liquidity pools of TP ICAP’s competing broking units, Tullett Prebon and ICAP, the data has been developed from volumes observations and modelling.

TP ICAP said that volumes in derivatives tied to SOFR have surged since the new benchmark was introduced in April, meaning banks, asset managers and other firms using the instrument need an institutional-grade infrastructure to support trading.

The two data sets have been designed to provide users with a holistic view of SOFR-linked derivatives markets and to support trading, risk management and analytics.

“After Tullett Prebon arranged and executed the first SOFR v Fed Funds Basis Swap in July, both businesses have seen an uptick in volumes as institutions interested in the USD interest rate swap market begin to prepare for an upswing in these trades,” said Eric Sinclair, CEO of TP ICAP’s data and analytics division.

“We are uniquely positioned to offer separate data sets from two of the major liquidity pools for these OTC derivatives, and the pairing of these data sets provides a holistic view of the market at any given time.”

SOFR was introduced earlier this year as an alternative benchmark to Libor for US dollar derivatives and other financial products. It was first published by the New York Federal Reserve Bank in April and is now considered best practice following years of controversy and manipulation shrouding the Libor benchmark.

“We made the decision to launch these two data products because, from experience, all signs are pointing to the emergence of a robust market. In an OTC marketplace, the more variety and depth that an institution can have using trade data, the more accurate their pricing and modelling becomes,” Sinclair concluded.

“Here, our competing brokerage model serves as a strength in that these two products can be used together to deliver the first comprehensive view into how this market is unfolding.”