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Date Headline Description #
18-Dec-2024 INR Swaps – What’s New? This will be my last blog of the year, and the last one before we get into some retrospectives about 2024. It is therefore a good opportunity to add to the “What’s New” series, and look at INR swaps. Unlike MXN, which had a near five-year gap between blogs (!), I wrote about INR swaps […] Request summary
10-Dec-2024 €STR Volumes and Market Share November 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 No change that I can see in EURIBOR trading. It continues to dominate EUR STIR future volumes: Well, I say that I see no change, but […] Request summary
3-Dec-2024 New: Kids on the Block (Sizes) The new block sizes in SDR data make trends in the data more difficult to identify – because now only 25% of notional should be “dark” (i.e. above the capped thresholds), down from 50%. More transparency is good, but we need to be careful when looking at data from before and after the new block […] Request summary
27-Nov-2024 MXN Swaps – What’s New? I have not written about MXN Swaps since January 2020 – nearly five years! This blog couldn’t come at a more opportune time, with the MXN market undergoing a big change this week. CME Conversion Why the sudden interest in MXN after five years? It is those pesky Risk Free Rates (RFRs) again. MXN was […] Request summary
19-Nov-2024 Swaption Volumes by Strike Q3 2024 This blog covers USD Options markets in Q3 – so please note that is before the election result! This is the latest in a series of blogs covering Swaptions: Q3 2024 was a characterised by huge volumes in underlying Swaps, with notable activity in August. There was also a lot of activity tied to changes […] Request summary
13-Nov-2024 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 […] Request summary