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 […]
USD Rates – What’s New?
USD Outright Volumes The chart below shows monthly volumes since Sep 2021: Showing; And we shouldn’t avoid the chance to present another impressive chart. Average Daily Volumes in USD Rates keep on increasing each quarter: Will September 2024 be busy enough for us to close the quarter with another record? Stay tuned to the Clarus […]
Volumes in EUR Swaptions
June 2024 saw the largest number of EUR Swaptions reported to SDRs in the past three years: Showing; My interest in EUR Swaptions was sparked by a recent Risk.net article; I’m not sure our data shows much support for the idea that it was straddles specifically that led to a spike in volumes. Further complicating […]
Monitoring of Hedge Funds
Hedge funds are frequently in the financial news, which is not at all surprising given the size of the sector and the public profile and wealth of the founders. So it is good to see that a Hedge Fund Monitor has been released by the Office of Financial Research of the U.S. Department of the […]
Just how bad are trading conditions right now?
This is very likely a premature blog. But it’s August, it’s quiet, and I haven’t written a “live” blog since Credit Suisse went up the swanny. So whilst Bloomberg is declaring a “$6.4 Trillion Stock Wipeout” and Reuters a “Global Market Rout” I note at the very outset that more sanguine minds rule over at […]
Handling the complexities of TARF FX Options
Target Redemption Fowards (TARFs) are complex OTC financial instruments used in FX markets. An instrument type that many of us will have heard about in passing, but not had the need or time to delve into the details. My colleagues, Serena Manti and Gianluca Molteni have written the first of a series of articles on […]
GBP Swaps – What’s New?
It’s time to take a look at UK swap markets. I tend to do this about once a year, and the last time was June 2023: Again, I will reference FT Alphaville for their great coverage of the UK and in particular highlighting the potential for stability in one of their recent posts: A good […]