BREXIT – Day Two, What is Trading?

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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:
USD 10yr Intraday
USD 10yr Intraday


Closing Prices USD
Closing Prices USD

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





GBP 10Yr Swap Price action
GBP 10Yr Swap Price action

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.

EUR IRS 1512
EUR IRS update at 15:12 LON

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.

USD IRS 1507
USD IRS Prices and volumes as at 15:07 LON. The GBP swap market is where the action is at 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.

GBP IRS 10y 1457
Intraday chart of GBP IRS 10 year prices. The low was 0.967%.

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.

GBP Volumes 1453
GBP IRS Volumes as at 14:53 LON
GBP IRS 1453
GBP IRS Prices and Volumes at 14:53 LON

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).

GBP IRS sub 100
10 year GBP IRS trades below 1.00%. Any stop-losses out there?

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.
GBP IRS 1204
GBP IRS Prices and Volumes as at 12:04 LON

And here is the volume traded:

GBP Volumes 1207
GBP IRS Volumes as at 12:07 LON

12:00 Midday LON – USD Swaps just recovering?

As we saw on Friday, maybe USD rates are set to recover into the afternoon?

10y USD Swaps 1200
Intraday chart of 10y USD IRS prices this morning

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%.

USD IRS 1155

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).

USD IRS Volumes 1157
USD IRS Volumes as at 11:57am LON

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…

GBP IRS 1018am
GBP IRS Prices and Volumes as at 10:18am LON
LIFFE Gilt 1016
The Gilt future is flying higher today

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.

GBP Volumes 0943

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.

GBP IRS 0919am
GBP IRS Rates as at 0919am based off what has traded in the SDRs
GBP Volumes 0920am
GBP Volumes at at 0920am LON

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:

GBP IRS 0912
GBP IRS at 09:12am (trade time on our alerts is UTC)

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:

GBP IRS 0857am
GBP IRS as at 08:57am LON

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.

GBP IRS Opening Prices
GBP IRS Opening Prices

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:


BREXIT alert 1
Our Brexit alerts email users when GBP IRS trades are reported to an SDR this week

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.

EUR IRS Opening Prices
EUR IRS Opening Prices
EUR 10s30s 0737
EUR Swaps first trade is a 10 year 30 year spread trade

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:

USD IRS Opening Prices
USD IRS Opening Prices on Monday morning after 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:

US 10 year prices overnight
USD 10 year swap prices overnight

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:

LIFFE Short Sterling 3 month Chart
LIFFE Short Sterling 3 month Chart

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.

Fridays Volumes ex Roll and Compression
Friday’s IRS Volumes ex Roll and Compression

Concentrating on GBP volumes, if you look at Friday’s IRS volumes compared to the last two months, it was clearly a big day:

GBP IRS Volume Perspectives
GBP IRS Volumes for past two months

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:

GBP OIS Volume Perspectives
GBP OIS Daily Volumes for the past two months

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.

CDS Volumes
Friday’s CDS Volumes

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.

CDS Prices
Friday’s CDS Prices

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.


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