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 […]

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 […]

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. […]

Issuance A particular headline in the FT recently piqued the interest of this blogger: Like a moth to a flame, I was drawn to the statement: The demand has helped push a number of continental European companies to issue sterling debt for the first time in recent months, including German real estate company Vonovia, German […]

28 May 2024 is set to be a pivotal moment in the history of securities trading, as from this day, US trades in cash equities, corporate debt and unit investment trusts must settle T+1 instead of T+2. One of the challenges is cross-border trading and the implications for trades with a foreign currency component. Eugene […]

According to the FT, we need a dose of optimism at the beginning of 2024. What about these statistics to provide you with an uplifting outlook for the New Year? SDRView Volumes SDRView shows the monthly volumes transacted of Cross Currency Basis swaps. These are, on the whole, the vanilla interbank type of mark-to-market cross currency swaps. […]

With Cross Currency Swap blogs continuing to perform well on the Clarus Blog each year, let’s take a look at what traded during 2022. SDRView Volumes SDRView shows the monthly volumes transacted of Cross Currency Basis swaps. These are, on the whole, the vanilla interbank type of mark-to-market cross currency swaps. Showing; SDRView also shows the DV01 […]

There is now over a $1Trn of cleared NDFs traded every month in 2022. March and September 2022 were particularly notable volume months. This is against a backdrop whereby the uncleared NDF market has not really grown. BIS data suggests that over 16% of total NDFs are now cleared across the whole market. This is […]

I keep a close eye on what is going on in Cross Currency Swaps, but somehow I missed quite how significant the past few quarters have been in terms of volumes traded. Let’s take a look. All-Time Record Volumes Taking a look in SDRView shows significant volumes in EURUSD and GBPUSD during 2022: The chart […]

This week I want to pull together two of my recent blogs: FX Clearing 2022 Mechanics and Definitions of SACCR (part 3) I was fully expecting to see a “SACCR effect” on the amount of FX Clearing we see in 2022. Let’s look into the details below. Widening Spreads FX and SACCR have made the […]