BREXIT – What is Trading after the result? Day One

This blog was updated frequently throughout the day. Now that the UK trading day is done and dusted (21:06), we’ll call it a day.

The final GBP swap volumes should include all of the DMO-close related trades that have gone through the SDRs, and we’ve finished with a USD update just after 4pm New York time.

Thanks for following today. See you Monday.

21:15 – USD Closes

  • USD swaps hit $180bn in traded notional
  • Nearly $100m in DV01
  • 2,188 swaps reported to the SDRs. That is a lot!
  • $77.7bn in USD OIS across 70 trades
  • 10 year USD Swap prices continue to recover off their lows. The second half of the day was far less volatile than the start of the day.

In terms of perspective, those volumes are already rivaling what we would see on an IMM roll date. And not much of that volume was roll related today.

USD Closing Volumes
USD Swap closing volumes
USD Closes
USD 10 year Swap Prices end of day chart. A much more subdued second half of the session. Let’s hope the calm lasts on Monday morning.

21:06 – GBP Closes

  • GBP swaps hit £3.85 billion in traded notional
  • £2.3 million in DV01
  • 104 swaps reported to the SDRs
  • GBP OIS saw £47.7 billion trade across 38 trades

The final GBP trades of the day were two very large (above block size) 5 year trades starting in one months time.

GBP Closes
GBP Closing Volumes
GBP Closing Prices
GBP Closing Prices. No late in the day moves. Let’s see where we pick up on Monday morning…..

17:17 – GBP soft closes

As we’re approaching the end of the day in London, let’s see where GBP swaps ended up.

  • £3.7bn in notional traded.
  • £2.23m in DV01.
  • 103 swaps were reported to the SDRs.
  • Main trading tenors were 5y, 10y and 30y. Plus broken dates for specific swaps.
GBP Prices 1720
GBP Swap prices as at 17:20 London Time.

The volumes in GBP OIS have particularly caught my eye over the trading day. Over £47bn has traded today, with several block trades – meaning that the total size was larger. The short-end is normally the “canary in the coal mine” of market concerns. It’s worth monitoring to see if this increased activity continues.

GBP OIS Volumes 1723
GBP OIS Volumes at at 17:23 London Time

16:18 – GBP Short End

There is a saying among Rates traders that moves are “all about the short-end”. If that’s true, it’s worth noting that GBP OIS has been a focal market today. Over £22bn has traded in 1 month maturities. Volumes are approaching records for the year.

GBP OIS 1618
The SDRView Pro screen for GBP OIS as at 16:18 London Time. Volumes have been very large today.

16:04 – USD Swaps – Rates continue to come back

Seems to be more calm out there now. 10 year USD Swap rates have recovered substantially off their lows. Last trade at 1.439% vs a low at 1.292%.

USD Prices 1604
10 year USD Swap Prices as at 16:04 London Time

16:00 – GBP Swaps Update

GBP swaps traders normally go home around about now, right? I doubt it today…

GBP Prices 1600
GBP Swap Prices as at 1600 London Time

15:47 – GBP OIS and Short Sterling

Whoah! BIG volumes in IMM dated and spot GBP OIS going through. Block sizes. Liffe short sterling selling off at the same time:

GBP OIS Volumes 1546
GBP OIS Volumes going through at 15:46 London Time.
Liffe Short Sterling 1546
Liffe Short Sterling moving lower as the GBP OIS volumes go through.

15:41 – USD Swaps

And we now have over $111bn in USD swaps notional traded today. Plus $68 bn in USD OIS.

Big volume day, good for the SEFs at least.

3 month USD OIS just trades at 34.3bp, versus Eurodollars at 36.5, so FRA/OIS steady around 29.25bp right now.

Eurodollars 1544
Sep16 Eurodollars at CME. Prices as at 15:44 London Time

15:07 – GBP Short End

Liffe Short Sterling just looks to be having a wobble here. 3 month OIS out of matching dates has traded at 27.9bp but spot is at 34bp. I’m surprised a 20% fall in UK bank stocks hasn’t blown out the FRA/OIS by more.

Short Sterling 1507
Short Sterling as at 15:07 London Time
GBP OIS Volumes 1512
GBP OIS Volumes as at 15:12 London Time.

14:56 – GBP Swaps

We break £3bn in total traded for vanilla Fixed-Float IRS. Rates still between 25 and 30 basis points lower. Here’s a summary of everything that has traded so far:

GBP Swaps 1455
Click to expand. This is a summary of all GBP swaps that have traded so far today. As at 14:55 London Time.

And as for prices – here are the changes between last night and today for the spot starting swaps only:

GBP Prices 1455
GBP Swap Prices as at 14:55 London Time

14:49 – USD 10y Swaps Update

Are things beginning to calm down? The range of prices in the past two hours seems to have reduced at least. Time for a breather? Still loads of volume going through. Total USD Swap volumes now $92.4bn.

10y USD Swaps 1449
10y USD Swap prices as at 14:49 London Time

14:30 – GBP OIS Still going strong

On a good day, GBP OIS may see 30 trades. We’ve already seen 27 go through today, totaling over GBP33.7 billion. Lots of 1 month.

GBP OIS 1430
GBP OIS trades as at 14:30 London Time

14:27 – Volumes still surging

Well, that didn’t take long. USD Swap Volumes today have already exceeded the whole trading day yesterday….$88bn and counting.

USD Swap Volumes 1428
USD Swap Volumes as at 1428 London Time. That is over $88bn now so far today.

13:45 – FX Option Markets

It’s not only Interest Rate Derivatives that are reported to SDRs. In GBP/USD FX options today, amazingly only one GBP/USD Call Option has been reported (in orange below. Strike was 1.30). Everything else has been a Put. Background here from before the vote.


FX Options today

13:35 – GBP 10 year prices

The story of the day so far. 10 year GBP swaps have been the most popular maturity to trade in GBP swaps. Prices seem to be headed lower again right now.

GBP Swaps 10y 1335
10 year GBP Swaps at at 13:35 London Time

13:32 – Lots more GBP activity

Big jump in 10 year and 2 year activity. More US based accounts trading, so more being reported to the SDRs. Prices headed back lower.

GBP Prices 1332
GBP Prices 13:32 London Time

13:02 pm – GBP and USD OIS

Typical stress trades are popular. We’ve seen 22 trades in GBP OIS. A bit of simple maths shows that FRA/OIS spreads in December are over 20 basis points. Recall that the BoE previously promised a “backstop, and to support the functioning of markets, the Bank of England stands ready to provide more than £250bn of additional funds through its normal facilities.”

GBP OIS 1255pm
GBP OIS Volumes as at 12:55pm London Time
GBP OIS Trade Prices 1255pm
GBP OIS Trade Prices 1255pm. Plenty of activity. 22 trades and over £28 billion in volume.

USD OIS volumes are also exceptionally high. Over 78 trades totalling $120bn in volume. Bloomberg has already reported on a spike in FRA/OIS levels here. The Sep15 OIS just traded at 0.33% versus Eurodollars at 99.37 – implying a spread of 30 basis points right now.

USD OIS 1258pm
USD OIS 1258pm
USD OIS Trade Prices 1258pm
USD OIS Trade Prices 1258pm


12:20 pm – USD Swaps Prices

With 10 years so active today in USD swaps, it gives a good guide to the ebb and flow of market sentiments so far. The six pink dots are block sizes, so very large trades. You can see that in every case the market has moved after they have traded. Probably a sign of reduced liquidity.

10y USD Swaps 1220pm
10y USD Swap prices as at 12:20pm London Time

12:15 pm – Huge Volumes

With it now 7am in New York, USD swap volumes are continuing to surge. There’s almost too much going on to pin-down. Main view is that activity is hugely concentrated in the major tenors – 5 years, 10 years and 30 years. Here’s the activity – over $62bn has now traded (vs $87bn during the whole of yesterday).

USD Swaps 1215
USD Swaps activity as at 12:15pm London Time

12:10 pm GBP Swaps

Activity continues, albeit without any more huge moves. After the knee-jerk, GBP traders will now reconsider what a BREXIT means for long-term inflation expectations and long-end swaps.

GBP Swap Prices 1210pm
GBP Swap Prices as at 1210pm London Time

11:43 am GBP Swaps Update

GBP Swap Prices 1143am

10:59am – Waiting for Libor

As we all wait for Libor fixings today, here’s the latest prices and volumes in GBP swaps to mull over.

GBP Swap Changes 1059am

10:50am – EUR Cross Currency Swaps

The fall-out is not restricted to GBP markets. Cross Currency Swap markets show a sustained “dash for dollars”, and 1 year EUR/USD XCCY swaps are down at -50 basis points this morning, from -35 basis points yesterday. The 1 year EUR/USD XCCY swap has traded as low as -54 basis points earlier this morning.

EURUSD XCCY Basis Activity 1052am
EURUSD XCCY Basis Activity as at 1052am London Time
EURUSD XCCY Basis Prices 1052am
EURUSD XCCY Basis Prices as at 1052am London Time

10:38am – Just how active are Swap markets?

To put today’s trading in perspective, $87.4bn in notional traded in USD swaps yesterday. So far today (which is still 05:38am in New York…) we have seen $46.6bn trade.

10:33am – GBP Swaps

An overview of prices and what has traded in volumes so far today

GBP Activity 1032am
GBP Activity so far today. As at 1032am London Time
GBP Prices 1032am
GBP Swap Prices as at 10:32am London Time

10:20am – USD Swaps

USD Swaps are still by far the most active market. 650 trades and $43.5bn in notional has traded so far. This is nearly $23m in DV01 in risk terms. That means that when prices move 1 basis point (0.01%) across the curve, the valuation of these positions would change by $23m. To remind you, rates have moved by at least 17 basis points today and at one point were nearly 30 basis points lower.

USD Swap 1025 Prices
USD Swap Activity as at 10:25am London Time
10y USD Swaps 1025am
10y USD Swap prices as at 1025am. Prices have recovered off their lows.

10:15am – EUR Swaps

10 year EUR Swaps trading fairly frequently now (finally). 0.412% seems to be the going rate. The low earlier today was 0.33% which traded on Bloomberg’s SEF. The trade at 0.33% was large (above Block size which is EUR150m plus). Maybe the size demanded a price premium in thin markets? It traded nearly 20 minutes after the Bund future (at Eurex) opened, at 07:18am London time.

10:05am – EUR Swaps

EUR swaps have now traded nearly 100 times, which is far more active than GBP (which is normal). 10 year swaps are the most active, with over EUR1.67bn trading in notional terms so far. The price range shows that rates are recovering off their lows.

EUR Swaps 10y 1012am
EUR Swaps 10y 1012am

10:00am – GBP Swaps prices

10 year swaps in GBP are not trading as frequently as we expected. Could be a sign of poor liquidity, or major tenors being traded by non-US persons away from SDR reporting. But we’re still seeing activity come through. 15 trades now, total notional of GBP312m. In risk terms, that notional amount is equivalent to GBP232,000 in DV01.

GBP Swap Changes 1000am
GBP Swap Changes 1000am

09:20am – GBP Swaps Recap

We’re beginning to get a better picture of activity in GBP swaps now. Charts below. 11 trades from 2y all the way out to 30y. 30y just trades at 1.401%, lower than the previous trade.

GBP Swap Volumes 0920am
GBP Swap Volumes 09:20am London Time
GBP Swaps Recap 0920am
GBP Swaps Recap 09:20am London Time

09:10am – GBP Swaps prices. 2 year trades

2 years traded “only” 15 basis points lower than last night’s close. Is the market pricing out any rate cuts already?

GBP Swap Changes 0910am

09:00am – GBP Swaps prices

Latest prices, yesterday’s closes and change on days. Rates 30+ basis points lower at the short end, 20+ basis points lower at the long-end.

GBP Swap Changes 0900am
GBP Swap Changes 0900am

08:57am – GBP Swaps still trading

We’ve now seen 11 trades hit the SDR. 5y and 10y most active. First 10y trade has just gone through at 1.415%. That is 21 basis points lower than yesterday.

GBP Swaps Update 0857am
GBP Swaps Update 0857am

08:51am – GBPUSD Cross Currency Swaps still trading

The forwards moving lower (the first four swaps start in 1years time) show a sustained demand for USD, 1 year spot still at -30bp, although Carney didn’t say that rates will be cut before Libors are published today….

GBPUSD XCCY Basis 0854am
GBPUSD XCCY Basis 0854am

08:46am – EUR swaps trade over 50 times

EUR swaps still not as active as USD (at least, from what we can see in the SDRs). Over 50 trades now in EUR. 5y and 10y most active. Rates seem to be settling down.

EUR Swaps 10y 0948am

Carney speaking right now….

08:38am – USD Swaps continue to recover

USD swaps continue to trade. 10 years is back up to 1.363% from 1.294% lows.

10y USD Swaps 0835am
10y USD Swaps 0835am

08:20am – GBP Swaps price changes on the day

GBP Swap Changes 0820am

5y last traded at 0.704%, versus 1.071% last night, 36.7 basis points lower.

08:15am – GBP Swaps start trading

We have our first GBP swaps coming through (see 08:05am below).

GBP Swaps 0815am
GBP Swaps 0815am. Rates seem to be around 35 basis points lower.

08:05am – GBP swaps lower by 35 basis points.

We have our first SDR reported GBP swap. 9 years in just 17m pounds. The rate is 1.065% versus yesterday’s last 9y print at 1.343%. GBP rates are therefore lower by around 28 basis points.

Shortly afterwards, 10 years has traded at 1.112%. The last trade in 10 years yesterday was 1.467%. So 10 year GBP swaps are 35.5 basis points lower.


No GBP swaps to report just yet, but we do have activity in GBP vs USD Cross Currency Swaps. 1 year XCCY swaps were at -3 basis points yesterday. They are now trading at -30 basis points, and have been as low as -35bp this morning:

GBPUSD XCCY Basis 0800am
GBPUSD XCCY Basis 0800am

We do not know whether the BoE will cut rates or whether they will do so before the Libor fixings come out today at 11am. So trading any swaps with fixings today is a bit of a lottery. Those 1y XCCY prices suggest a USD premium plus some kind of BoE rate action in the coming days. I certainly wouldn’t want to take the risk of paying today’s Libor 3m fixing in GBP before we know what the BoE will do.


USD Swaps

Only USD and a small amount of EUR swaps have been reported to the SDRs so far.


USD Swaps 0730
USD Swap Volumes 07:30am London time


  • Liquidity is there in the benchmark tenors of 5y, 10y and a surprising amount of 30y.


USD Swaps 0730 Prices
USD Swap Prices and traded amounts 07:30am London time


  • Nearly 500 trades since midnight
  • Rates lower across the board
  • 5y swaps on-SEF have traded from 1.173% at 1am all the way down to 0.883%. In the last hour they have recovered somewhat back to 0.939%. Prices are very erratic:
5y Swaps 0730 Price TimeSeries
5y USD Swaps as at 07:30am London time

EUR Swaps

Much less has traded in EUR swaps, but activity has been slowly picking up in this past hour.

Volumes and Prices

EUR Swaps 0740 Prices
EUR Swap Volumes and Prices 07:40am London Time


  • Only a handful of trades so far. Maybe a lot of the trading is happening away from the SDRs?
  • 10 year tenor has been the most active. The last trade in 10 years was at 0.381%, a 3 bp gap lower from the previous trade just 90 seconds previously.
  • But 10 years has traded as low as 0.34% already this morning, so similar to USD, prices are not at their absolute lows at the moment

I will update as soon as we have some visibility on GBP swap prices.

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