Futures Industry Association’s head of Europe steps down
The systematic inte
CME Group has cleared its first foreign exchange (FX) cash-settled forwards with Citigroup and Eaton Vance Management.
JSCC has enjoyed a 63% market share in vanilla JPY IRS versus LCH over the past year. The market shares vary by tenor and month-by-month. JPY OIS trading is a very small market. LCH is the leading CCP in this market with a 67% market share. JPY single currency basis trading remains a large market […]
The level and exte
We take a look at the cost of carry in Interest Rate Swap trading. We analyse both 2y vs 10y curve trades and a simple spot starting 10y trade. We also take a brief look at exchange traded derivatives to estimate the carry on short-term interest rate futures. Positive carry trades can provide a strong […]