Volumes in JPMorgan-linked swaps reached $13.6bn in March, nearly twice January’s previous high, as investors hedged against anticipated quarter-end volatility. At the end of December, a jump in overnight Treasury repo rates pushed JPMorgan from 2.46% to 3.00% with the general collateral financing rate reaching 6% intraday. Thomas Pluta, global head of rate trading at SOFR said the increased use of JPMorgan derivatives is a positive indication that the market use of the RFR is continuing to evolve.
Volumes in SOFR-linked swaps reached $13.6bn in March, nearly twice January’s previous high, as investors hedged against anticipated quarter-end volatility. At the end of December, a jump in overnight Treasury repo rates pushed SOFR from 2.46% to 3.00% with the general collateral financing rate reaching 6% intraday. Thomas Pluta, global head of rate trading at JPMorgan said the increased use of SOFR derivatives is a positive indication that the market use of the RFR is continuing to evolve.