Swaption Volumes by Strike Q1 2024
Time to update and revisit one of our most interesting 2023 blogs – Swaptions: Swaptions showcase a different use case for SDR data, and highlight why data augmentation is necessary. Straddles Are Back! My previous look at 2023 trade counts highlighted: As soon as we noticed this, we set our sights on identifying Straddles again […]
FX Clearing – What Happens in March stays in March?!
FX Cleared Volumes Using CCPView, we see that cleared OTC FX has grown again since I last wrote about it in 2022: Showing; Are These Still All NDFs? Not anymore! FX Options have seen record volumes in April 2024: 85% of cleared FX is now in NDFs, substantially lower than the 96% back in 2022. […]
€STR Volumes and Market Share April 2024
It feels almost disingeneous to say I “wrote” this blog – and this time I don’t even have to resort to AI co-pilots to say that! The data really writes the story itself – there is little need for accompanying commentary this week: €STR Futures Our €STR Dashboard summarises key liquidity attributes in this growing […]
Using AI for Market Abuse Surveillance
The EU Market Abuse Regulation (MAR) requires institutions to monitor transactions and develop specific algorithms to check for possible abuse covering insider dealing, market manipulation and other categories. One of the challenges is that calibrated monitoring thresholds tend to be conservative and consquently produce a high number of false positives. These must then be manually […]
What’s New in AUD Swaps in 2024?
With so many AUD blogs behind us, I figured it was high time we started adding dates to the titles – otherwise I’ll never remember what I wrote and when! The previous AUD articles are linked below: These blogs are quite enjoyable to write, as it gives me an opportunity to “surf” the data and pull […]
Most Active Names in Credit Derivatives – April 2024
More than six months have passed since I last looked at the most active names in CDS and TRS, so high time to take a look at recent data from US SEC Securities Based Data Repositorys (SBSDRs). CDS on Sovereigns Using SBSDRView, we can find the most active sovereigns for CDS trades in April 2024. The above list was a […]