About a-team Marketing Services
The knowledge platform for the financial technology industry
The knowledge platform for the financial technology industry

A-Team Insight Blogs

TP ICAP Rolls Out Data Products for SOFR-Linked Derivatives

Subscribe to our newsletter

By Uri Inspector, Staff Reporter

TP ICAP has introduced two distinct data feeds for derivatives linked to the Secured Overnight Financial Rate (SOFR) benchmark, an alternative to the London Interbank Offered Rate (Libor) that was first published by the Federal Reserve Bank of New York in April 2018. The data products have been sourced from TP ICAP’s competing broking businesses – Tullett Prebon and ICAP – using their separate liquidity pools, and developed using volume observations, modelling and data capture.

The company says the products have been designed to provide a comprehensive view of the emerging SOFR-linked derivatives market and to support enhanced trading, risk management and analytics. Both offerings include indicative curves, delivered in real-time or end-of-day, for Basis Swaps (SOFR vs 3M $ LIBOR, SOFR vs $ Fed Funds Compounded) and Fixed vs SOFR.

Since the introduction of SOFR-linked derivatives five months ago, trade volumes for this type of OTC derivative have grown consistently. With more major banks, asset managers and other institutions using derivatives tied to the SOFR index, TP ICAP’s data sets are being developed as a response to the nascent demand for an institutional-grade infrastructure to support trading and risk modelling. Moreover, the data feeds will also enable smaller firms, who may not have access to the analytical and modelling capabilities of larger, earlier entrants, to start trading these derivatives.

Eric Sinclair, CEO of TP ICAP’s Data and Analytics division, says: “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. 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.”

Subscribe to our newsletter

Related content

WEBINAR

Recorded Webinar: Fighting fraud and financial crime with RegTech

Financial fraud and crime continue to escalate causing significant damage to companies, countries and the global economy despite enormous efforts by firms and organisations in the financial services sector to identify and expel bad actors. As these bad actors use increasingly sophisticated techniques to break into financial institutions and extract both money and data, so...

BLOG

Challenges of the New Regulatory Landscape: Data Management Summit London Preview

The regulatory landscape for financial institutions has rarely been in greater flux than now, placing new challenges on the technology and data that will be critical to satisfying the requirements of overseers. While digital innovations are offering organisations the opportunity to meet their compliance obligations with greater accuracy and efficiency, they are also encouraging regulators...

EVENT

TradingTech Summit London

Now in its 14th year the TradingTech Summit London brings together the European trading technology capital markets industry and examines the latest changes and innovations in trading technology and explores how technology is being deployed to create an edge in sell side and buy side capital markets financial institutions.

GUIDE

Entity Data Management Handbook

Following on from the success of our Regulatory Data Handbook, A-Team Group is pleased to introduce its new Entity Data Management Handbook which is available for free download. This Handbook is the ultimate guide to all things entity data: Why Entity Data is important A full review of Legal Entity Identifiers (LEIs) Where they came...