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Following on from our BREXIT -What is Trading after the Result? Day One, which was last updated on Friday 24 June at 21:15pm after NY close, we will again be keeping a close eye on trade prices and volumes reported to US SDRs.
22:00 LON – USD Wrap
- Over 1350 USD swaps executed and reported to SDR today (vs 2,071 on Friday)
- USD swaps hit $90bn in notional and nearly $60m in DV01 (vs $160bn and $92m on Friday respectively)
- Curve flattened significantly (5bp in short end, 14bp at long end)
- Intraday price action in charts below:
17:00 LON – GBP Close
- GBP swaps hit £7.6 billion in traded notional, nearly double that of Friday
- £3.86 million in DV01, roughly 50% higher than Friday
- 154 swaps reported to the SDRs
15:12 LON – EUR Swaps curve flattens
Flattening is evident across the EUR curve as well. GBP IRS continues to trade in good volumes, with £4.7bn now traded. 10 years last at 0.989% just now.
15:07 LON – USD Swap update
Not a huge volume day in USD swaps, despite the large flattening of the curve and the move lower in rates. It seems to be all about GBP rates so far today.
14:57 LON – GBP Swaps 10 year chart
10 year GBP swaps traded as low as 0.967% today. They are currently around 0.998%, still hovering around that 1.00% mark.
14:47 LON – GBP Swaps see big volumes
We’ve now traded more notional than on Friday:
- £4.25bn GBP IRS has traded across the curve. This rises to £4.6bn when we include non-standard indices such as 1 month Libor.
- £45.7bn in GBP OIS has traded. The 1 month tenor is the focal point, the same as Friday’s trading.
- We’re seeing a fair few MAC swaps in GBP. £1.2bn in notional across MAC and IMM trades – almost all out of the Sep16 date. Tenors in MAC swaps have ranged from 2Y to 30Y.
- 104 trades vs 6m Libor. This is the same total as we saw for all of Friday.
Updated prices and volumes below.
12:25 LON – GBP Swaps Ooooof, and 1.00% is taken out
Well, that didn’t take long. Ten year GBP IRS trades at 0.985% in GBP30m, well below the 1.00% level (see 12:04).
12:04 LON – GBP Swaps Recap. 1.00% holds in 10 years.
For those just getting to their desks in New York, here is a recap of what has traded in GBP IRS:
- Rates are down about 16 basis points in ten year swaps.
- Ten year IRS vs 6m LIBOR is hovering just above 1.00% at 1.001% last.
- Volumes are high again – we’ve seen over £2bn in notional trade. Across the whole of Friday, we saw £3.7bn trade.
- There have been 53 trades so far reported to the SDRs.
And here is the volume traded:
12:00 Midday LON – USD Swaps just recovering?
As we saw on Friday, maybe USD rates are set to recover into the afternoon?
11:53am LON – USD Swaps Recap
Good morning New York. You are all probably wondering what has traded overnight….well, rates are a lot lower and the curve has flattened. 10 year swaps are 8.5 basis points lower than on Friday night, last trading at 1.372%.
Volumes, however, have been much lower than the equivalent point on Friday morning. Trading is just beginning to pick up now, with a little over $8bn in total notional having traded ($5m in DV01 so far).
10:16am LON – The Gilt is flying, Rates are plummeting
The LIFFE Gilt future is flying higher today, and as a result 10 year GBP Swaps have just traded 16 basis points lower on the day at 1.007%. Let’s hope the receiver didn’t think he was giving a 1.07% bid…
09:42am LON – GBP 10 years keeps on heading lower
Now down 11.4 basis points on the day….total notional volume is now over £1bn across 25 trades.
09:22am LON – GBP IRS Recap
We’ve now had 13 GBP IRS trades reported to the SDRs this morning. Rates are nearly 10 basis points lower than Friday’s closes – pretty much across the curve.
09:12am LON – GBP Rates still falling, down 8.5 basis points today
Another small 10 year trade, but even lower at 1.082% this time:
08:57am LON – GBP Rates take a tumble
A 10 year trade has just hit new lows in GBP IRS rates for today, down 7.4bp at 1.093%. Volumes are slowly ticking through the market this morning:
08:32am LON – GBP IRS Opening prices
A few more trades in GBP are now trickling through, all at least 3 basis points lower than Friday’s close.
08:12am LON – GBP IRS opens
The first trade of the day (see 08:09am) was a 25 year swap, trading 4 basis points lower than Friday’s close (1.363% vs 1.403% on Friday). Size was small in just £3m.
08:09am LON – First GBP Trade
For those subscribed to our BREXIT email alerts, you will know that the opening GBP IRS just went through:
07:35am LON – EUR Swaps Open
First trade of the day in EUR Swaps is 10s30s at 42.1bp. The outrights are 2.1 and 3.3bp lower than Friday’s closes as the curve flattens.
07:24am LON – USD Opening Prices
USD swaps are between 3 and 8 basis points lower this morning after some trading in the Asian session:
06:53am LON – Overnight prices
There have been over 40 trades in USD IRS reported so far in the Asian session. 10 year IRS rates are down from Friday’s close. On Friday, we saw a last trade at 1.456%. This morning, the 10 years is trading a lot lower at 1.369% last – and has been even lower:
It’s also worth taking stock of the short-end moves we saw on Friday. Both Short Sterling and Eurodollar STIRs were nearly 10 basis points higher than Thursday’s closes. Let’s see where they open shortly:
06:45am LON – waiting for GBP to open
Whilst we wait for GBP IRS (and EUR IRS) to open this morning, let’s put a little bit of perspective on Friday’s volumes. Across the G4 IRS currencies, it was noticeable that, excluding Compression and Rolls, volumes were even higher than on the IMM dates this month.
Concentrating on GBP volumes, if you look at Friday’s IRS volumes compared to the last two months, it was clearly a big day:
But interestingly, the GBP OIS volumes we looked at on Friday were not that unusual compared to recent days. It seems like after the June IMM roll, there has generally been a lot of OIS trading in GBP:
4:45am LON / 11:45am HKG – Friday’s CDS Volumes
While very few trades have been reported to US SDRs so far this morning with GBP/USD falling below 1.34 to a 31-year low, we expect another volatile day.
Another chart from Friday and a product that we did not cover, CDSIndex on ITRAXXEurope.
Volumes jumped to over 3 times normal in both the index and swaptions.
Prices opened at 106, up massively from the prior day close of 75.
And were volatile throughout the day as the cost of insuring European names fluctuated between 90 and 96 with a large number of trades above the block size of €100m.