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Following on from our BREXIT -What is Trading after the Result? Day One, and Day Two blogs, we will again be keeping a close eye on trade prices and volumes reported to US SDRs.
18:17 LON – GBP Close
- GBP swaps hit £10.6 billion in traded notional across all Libor indices
- £4.33 million in DV01, more than yesterday. Another big volume day
- 169 swaps reported to the SDRs
- 10 year swaps are closing just above 1.00%, some way down from their highs of the day. Price moves were significantly less than previous days.
- With good volumes traded, maybe we’ll be able to confirm that liquidity conditions are improving towards the end of the week?
16:27 LON – GBP Volumes impressive again
We’ve now seen over £10.4bn trade today across Libor 6m and 3m swaps – another impressive day, and higher volumes already than yesterday. Price moves have been far less than the previous two days. Just ahead of the closes, here’s the latest update:
13:30 LON – Plenty of GBP Swaps trading
There is plenty of volume going through and yields seem to have found a bottom. We are seeing just as much trade vs 3m LIBOR as we are vs 6m LIBOR. There could be some basis trades going through, but it seems that most of the 3m LIBOR trades are at the short-end. £4.4bn has traded so far, equating to £2m in DV01. 10 years last traded at 1.025%.
11:57am LON – USD Swaps recap
A decent volume morning in USD swaps, with over 200 trades and nearly $11bn in notional trading. Rates are up to 5 basis points higher than last night – 10 years is leading the way higher in rates.
11:51am LON – GBP Swaps morning review
Hello New York and welcome to calmer seas today. GBP 10 year swaps are back above 1.00% again as rates move slightly higher. There was a lot of activity in the first 90 minutes of GBP trading, but that has since calmed down substantially. Rates are between 2 and 4 basis points higher across the curve, in a slight steepening move.
In total, £1.5bn has traded across 44 swaps vs 6m LIBOR.
It’s also interesting to note that we’ve had more action in the short-end, with an additional £1.4bn trading in 2 years vs 3m LIBOR.
08:53am LON – GBP Swaps begin to trade (and at higher rates)
We’ve had 15 trades totaling £458m in 6m LIBOR swaps already today, which increases to 20 trades and £606m if we include all GBP swap indices. Rates are nearly 6 basis points higher in 10 years and back above 1.00%.
08:50am LON – GBP Moves yesterday
GBP Swap rates closed at, or close, to their lows of the day yesterday. This was as much as 20 basis points lower than Friday’s closes. With USD rates recovering a touch higher overnight, it will be interesting to see where we open today. Some GBP activity has already been reported to the SDRs this morning (update to follow).
08:35am LON – GBP Recap
With the USD updates done (see 08:30am and 08:20am below) we can turn our attention to the main event. GBP Swaps once again saw large volumes yesterday. The volumes were much larger in market standard swaps – i.e. vs 6m Libor – than on Friday. But when we look at total volumes across all indices, volumes were only slightly higher than normal.
08:30am LON – USD Swaps trading higher
USD Swaps have been busy overnight, with over 100 trades reported already. Rates are higher across the curve – but up to 3.2 basis points in 10 years.
08:20am LON – Overnight Wrap
USD swaps yesterday saw some more big moves in price, with yields nearly 15 basis points lower in 10 years. The curve flattened. Despite the big moves, volumes were back to “normal”, with $111bn in notional trading: