The European Active Account Requirements Revisited
With a huge Thank You to Eurex, I have to admit that I messed up on a recent blog post. It happens – we work to tight deadlines and cover complex topics. Still, I hold myself to a high standard and it really hurts when mistakes creep in. What Did I Get Wrong? On the […]
2024 CCP Volumes and Share in IRD
2024 volumes and market share for OTC Derivatives in Interest Rates reported by Clearing Houses. Clarus CCPView has daily volume and open interest data published by each CCP, which is filtered, normalised and aggregated to allow meaningful comparisons. Contents: Onto the charts, data, and details. Volumes and Market Share For major currencies and regions, vanilla swaps referencing IBORs and OIS […]
Mechanics and Definitions of Cross Currency Basis Futures
CME are taking a bold step into the (relatively) unknown and launching EUR/USD Cross-Currency Basis futures. Let’s take a look… Definition The Cross-Currency Basis Future can be defined as; A contract for difference that cash-settles the implied 3 month cross-currency basis from observable EUR/USD FX-forward, USD and EUR short-term interest rate futures. Recall that a […]