€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 […]