€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 […]

€STR Volumes and Market Share

Very occasionally, the data writes a blog for me. This is one of those times, with three particular highlights: €STR Futures I have slightly tweaked our €STR Dashboard, which summarises key liquidity attributes in this growing market: Showing; The really large volume days at Eurex have not materially added to the Open Interest yet, where-as […]

EUR Futures Latest – Still a 3 Way Battle

We turn our data lens back to Europe for this blog to look at how the market shares of CME, Eurex and ICE are evolving across EUR futures. Last time out, I noted that Eurex had kick-started their EURIBOR volumes. Let’s look at the data since then. Market Share in EURIBOR Futures CCPView reveals a […]

A new look at €STR Futures

In June this year I wrote that “We Need to Talk About €STR Futures“. RFR/€STR Adoption continues to be volatile in Europe, but €STR Futures have had a pretty good year so far, with monthly volumes increasing steadily: Showing; However, ESTR futures have only managed to grab a tiny percentage of the overall EUR STIR […]

Is Chris Barnes actually a robot?

Do Androids Dream of Electric Sheep? Amir and I have been discussing on our podcast a new use of the Clarus blog – training AI models. Clarus content is a good candidate for training large language models – the blogs are structured, and they cover technical topics in an accessible manner. There are now well […]

We Need to Talk About €STR Futures

There are extremely liquid markets in a number of EUR-denominated interest rate futures. If you don’t already know your Bund from your Bobl or Schatz then please read our primer “Mechanics and Definitions of Bond Futures“. As you can see from our CCPView volume charts, EUR bond futures are a significant portion of EUR futures […]

STIR Trading Volumes – Will They Recover?

LIBOR cessation appears to have reduced activity in certain short dated futures markets. CHF and JPY used to see volumes of $1.5Trn per month notional equivalent. But these two markets have seen reduced activity in 2022. However, GBP short term interest rate futures activity has been robust. We outline differences in hedging needs for dealer […]

IR Futures Volume – Nov 2021

I last looked in detail at IR Futures volume in February 2021, so in this blog I will update the Average Daily Volume (ADV) and Open Interest (OI) of the major IR futures: Money Market and Bond Futures AUD, BRL, CAD, CHF, EUR, GBP, JPY and USD Relative size by ADV and OI on a […]