We Have New Block Sizes
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 […]
US Election Live – What is Trading?
Final Post Below you will see our updates throughout the day. As you can see, the action ended up a touch “samey” – there wasn’t the volatility that we saw back in 2016. However, we ended the day with 5,200 trades. That beat August 5th (which I think was the previous SDR record) by a […]
EUR Rates – What’s New?
Time for another installment of my “What’s New” series, looking at dynamics (mainly volumes!) in different currencies. I follow EUR markets pretty closely, particularly through the lens of €STR futures market share and what is happening with EUR swaps. Today, I’ll take a look at most aspects of EUR trading. EUR Outright Volumes I like […]
RFR Adoption Q3 2024
Time for a quarterly check-in on RFR trading. The data provides a high-level overview of trading activity across all Rates products. Clarus API – CCPView As a reminder from previous blogs, Clarus microservices allow me to query numerous volume measures from CCPView. That means I have rebuilt the RFR Adoption Indicator using just two queries to pull in DV01s traded across all products […]
3Q24 CCP Volumes and Share in IRD
Clarus CCPView has daily volume and open interest data published by each CCP, which is filtered, normalised and aggregated to allow meaningful comparisons of volumes. Today we look at 3Q24 volume and market share in IRD for: Which show record high volumes for USD, JPY, EMEA and APAC Swaps. Onto the charts, data and details. Volumes and Market Share For major currencies […]
Pre-Hedging in Swaps
FMSB The FICC Markets Standard Board (see my 200th Clarus blog), known as the FMSB, recently published the paper “Spotlight Review on Pre-Hedging“. It makes great reading for anyone involved in Swaps markets – dealers, sales, trading, buyside. Read it! What is “Pre-Hedging”? According to the FMSB report, pre-hedging is the act of a dealer […]
NDF Clearing – The latest updates
NDF Cleared Volumes CCPView shows that cleared NDF volumes continue to grow: Showing; Which NDF Currency Pairs are the largest? Looking into the August 2024 data per currency pair shows: NDF Clearing Rates Regular readers will know that we use the CFTC weekly Swaps Report to monitor how much of the NDF market is cleared. The large […]
€STR Volumes and Market Share August 2024
€STR Futures Our €STR Dashboard summarises key liquidity attributes in this growing market: Showing; Open Interest CCPView provides all the data we need on Open Interest for €STR futures: EURIBOR EURIBOR continues to dominate EUR STIR future volumes, despite €STR becoming more and more significant. €STR Options August 20th saw the first €STR Options trade: There […]
What’s New in CCP Disclosures – 2Q24?
Clearing Houses have published their latest CPMI-IOSCO Quantitative Disclosures: Background Under the CPMI-IOSCO Public Quantitative Disclosures, CCPs publish over two hundred quantitative data fields covering margin, default resources, credit risk, collateral, liquidity risk, back-testing and more. CCPView has over 8 years of these quarterly disclosures for 44 Clearing Houses, each with multiple Clearing Services, covering the period from 30 Sep […]
TARF pricing with the Dupire local volatility model
Following on from the first article on Target Redemption Forwards (see Handling the complexities), my colleagues Serena Manti and Gianluca Molteni have written an interesting article on pricing using the Dupire local volatility model as the path dependent features of these products means that the standard Balck Scholes model with it constatnt volatility assumption is […]