The new block sizes in SDR data make trends in the data more difficult to identify – because now only 25% of notional should be “dark” (i.e. above the capped thresholds), down from 50%. More transparency is good, but we need to be careful when looking at data from before and after the new block […]

I have not written about MXN Swaps since January 2020 – nearly five years! This blog couldn’t come at a more opportune time, with the MXN market undergoing a big change this week. CME Conversion Why the sudden interest in MXN after five years? It is those pesky Risk Free Rates (RFRs) again. MXN was […]

This blog covers USD Options markets in Q3 – so please note that is before the election result! This is the latest in a series of blogs covering Swaptions: Q3 2024 was a characterised by huge volumes in underlying Swaps, with notable activity in August. There was also a lot of activity tied to changes […]

Block Calibration It has been a long journey to finally arrive at the “go-live” for new block thresholds on October 4th 2024. I covered it here on the blog, so rather than re-hash what has happened, please refer to the old posts linked below: Suffice to say that there have been more than a few […]