We may have skipped a day yesterday (prior commitments, sorry all!) but we can’t really ignore the price action this morning in GBP swaps. The BoE comments yesterday bringing rates lower this morning. Bye bye that 1.00% handle in ten years….
End of Day GBP Wrap-Up
- 187 trades were reported to the SDRs.
- Over £8bn in notional traded.
- It was the largest day since the Referendum in terms of risk traded. £4.38m in DV01 went through the markets.
Looking back over the last ten days, we can see that Friday 1st July just sneaks into the lead – by £100k of DV01. Monday July 4th will be very quiet with the US out on holidays.
15:06 LON – GBP Swaps approaching the close
So I guess we are expecting a flurry of activity between 4pm and the close tonight as the US markets close positions? But it’s worth noting that we have already seen £7.5bn in notional and over £4m in DV01 trade today. That means today will be the largest day since the referendum in terms of trading volumes. So maybe a lot of that activity has already happened? Or the market has (somehow?) been truly wrong-footed and there is a lot of position squaring going on?
12:20 LON – GBP Update
Okay, so I may have been a bit hasty in calling ten year swaps 10 basis points lower and impending QE on its’ way again. There appears to be more talk of rate cuts overnight in the UK. Really? I thought the preferred channel was QE? Either way, Rates have recovered from their early morning lows, with 10 years last trading at 0.952%, just 2 basis points below last night’s final trade:
Volumes have continued to be impressive today, certainly running at higher levels than we’ve seen for the past couple of days. I guess with a long weekend coming up in the US, no (US-based) American will want to run any type of GBP risk over the long weekend. Who would with the political shenanigans going on right now? This means we’ve nearly had 100 trades already today, over £4.4bn in notional and nearly £2.5m in DV01.
10:07 LON – A Brexit Inbox and continued GBP Volumes
On days like this, it’s great to have the SDRView alerts hitting your inbox. It really helps stay on top of what is trading (see right).
We’ve now had almost £1bn trade across the curve, making up £600k of DV01. Ten years has recovered off it’s lows, and is back to 0.93%.
09:40 LON – What traded yesterday in GBP?
Yesterday was as good as any recent day to pause our live commentary. Volumes were down from the previous days, recording the lowest amount of risk reported to the SDRs since the referendum. Overall, we saw:
- 117 trades reported to the SDRs
- Nearly £6bn in notional
- £2.3m in DV01 trade
In risk terms, the chart below puts this into perspective with recent days.
Considering ten year swaps closed lower on the day at 0.971%, some of the weekly moves we will record tonight – even since last Friday’s close, after the referendum – will be large. Amir might have to update his blog on margin tails yet again next week.
09:18 LON – GBP Trading in good size
We’ve had 21 trades so far this morning, totaling £508m. That is equivalent to £360k in DV01. 10y swaps have traded at 0.939, 0.901 and 0.909 in a total of £162m. All in response to this speech and, in particular, this statement by Mark Carney:
In my view, and I am not pre-judging the views of the other independent MPC members, the economic outlook has deteriorated and some monetary policy easing will likely be required over the summer.
Volumes and prices are below.