€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 […]
10 CCP Policy Proposals to make markets better
TLDR; For anyone interested in the BCBS paper/consultation on “Transparency and responsiveness of initial margin in centrally cleared markets – review and policy proposals” (and with a title like that who wouldn’t be interested in it?!) I will try to summarise the 64 pages in 1,200-odd words. Some of the thoughts that I have on the proposals may be […]
Regulating the transformative power of AI in Asset management
Artificial Intelligence (AI) is a transformative technology and this article covers a number of key regulatory areas for asset management including the recent EU AI Act, bias, transparency and security. Please read on the ION Markets Blog.
How Much Margin? The 2023 Edition
Initial Margin ISDA have just published the latest edition of the “ISDA Year-End Margin Survey”: We have covered previous versions of this survey, which are always worth a re-read because you can laugh at any predictions we made in the past! Sifting through all of those reveals that between $650-800bn in extra IM was anticipated by ISDA as a […]
All You Need To Know To Avoid The Trade Execution Requirement?
What is a MAT trade? A MAT filing, or “Made Available to Trade” determination, is when a trading venue (SEF) submits a proposal to the CFTC stating that they deem certain swaps to be liquid enough to have an execution mandate applied to them. Basically, a SEF says “I think these swaps should only be traded on SEFs in […]
1Q24 CCP Volumes and Share in IRD
This is an article about CCP volumes and market share in the IRD. It discusses volumes for major currencies and regions. It also details CCP market share. USD OIS swaps are the highest on record. EUR OIS volumes are also at a record high. The combined EUR IRS and OIS volume is almost equal to the USD OIS volume. AUD swaps are down from a year earlier. CCP market share is dominated by LCH with some exceptions.
What’s New in JPY Swaps in 2024?
Covering; ISDA AGM in Tokyo I thought I would try to be helpful with the timing of this blog. The ISDA AGM is due to take place April 16-18 in Tokyo: Most delegates will take time to also see Tokyo-based clients, and will therefore be discussing the JPY swap market whilst doing so. So consider […]