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TP ICAP Rolls Out Data Products for SOFR-Linked Derivatives

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.”

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