TERM STRUCTURE
Trade the curve.
Every tenor is quoted separately from the same anchor, so the shape between them is an opinion the pool is expressing and you can disagree with. Pay fixed where you think the curve is too cheap, receive where you think it is too rich, and roll the difference between two maturities without ever touching a perp.
A CURVE PRICED AT ZERO SIZE IS A CURVE NOBODY CAN TRADE
Hover the curve for the two sides at each tenor
SPOT FUNDING
+12.35%
last sampled hour, annualised
ANCHOR
+11.00%
EWMA of realised funding
7D → 91D STEEPNESS
+1.66pp
upward sloping
OPEN INTEREST
$958.3K
30-day-equivalent notional
10.3% of cap, pay-fixed side
Positive means traders are net pay-fixed and the pool is net paying floating. The curve has already moved to be paid for carrying it.
UTILISATION
38.4%
capital pledged to open swaps
FREE LIQUIDITY
$7.61M
REALISED HOURLY FUNDING, ANNUALISED — THE SERIES THE ANCHOR AVERAGES