US Election Live – What is Trading?

  • USD Swap curve steepens and volumes massively up, > 5X the average in some tenors.
  • We will follow what is trading in Interest Rate Derivatives markets throughout the day
  • Stay up-to-date by manually refreshing the page today

16:15 New York – Wrapping up for the Day

While the Stock Market has been subdued today with the S&P500 up 1%, the Swap market certainly has not, so lets wrap up today with price and volumes in On SEF USD IRS.



  • 30Y IRS volume at six times the daily average and rates up 25 bps
  • 10Y IRS volume at five and half times daily average and rates up 22 bps
  • Both very significant moves
  • With 2Y up 6bps, the curve has steepened 19 bps
  • Spreadover volumes are between 2.5X and 4.4X the daily average
  • Swap spreads themselves are largely unchanged
  • Curve Switch trades, in particular 5Y30Y at nearly 3 times the daily average

The intra-day price history of 10Y tells the story nicely:


Opening lower and climbing the whole day, with a low to high intra-day move of +36 bps!

Curve Switches next, with a lot of volume (221 trades) and 10Y30Y with > $1.8m DV01.


Butterflies next, over twice the daily volume (116 trades) and 2Y5Y10Y with > $1.2m DV01.


Spreadovers next, over 3 times the volume (280 trades) with 5Y and 10Y the most active.


Outrights next, over 5 times the volume (724 trades) and 10Y with $12 million DV01!


Thats it I think.

Thank you for following today.

It will be interesting to see what tomorrow brings.

13:45 New York – Updating USD IRS

Action in 10Y and 30Y both now 4.6X daily volume and up @ 20 bps.



13:30 New York – Intra-day 10Y USD IRS

After opening down in London morning, has been climbing all day, +20 bps from yesterday and +35 bps from lows.



13:00 New York – Updated USD IRS Keeps going …

Volumes are > 4x for 10Y and 30Y, with $9m of DV01 in 10Y and curve steeper still.


Swap Spreads back down, while volumes > 2x.


12:15 New York – Updated USD IRS – Higher Volumes


Volumes in 30Y are now 4x the daily average, while 5Y and 10Y are at >3 times.

Prices continue to rise with 30Y at +16 bps, so the curve continues to steepen.

5Y30Y Switch volumes also 2x daily average.

And we have four hours till NY close.

10:00 New York – Where are we in USD IRS?


Outrights, SpreadOvers, Switches and Butterflys in major tenors.


13:47 London – First MXN IRS trades


2Y is up from 5.78%, 5Y from 6.04% and 10Y from 6.42%, so +35bps or so.

13:36 London – Summary of USD IRS so far


USD Swap Curve is steeper by 8 bps and volumes double the daily average.


13:09 London – USD Switches and Flys

5Y to 10Y Curve Switches On SEF volumes more than double the average with $1.1million DV01


5Y10Y30Y Butterflys also more than double.



12:41 London – USD 30Y Swaps

Volume today is off the chart!



12:32 London – USD Swap Volumes Up

It is definitely shaping up to be a high volume day, 10Y USD IRS already at nearly twice the average daily volume and still very early in the NY day.


USSW10 traded On SEF with $3.78 million in DV01 vs the Average Daily Volume (over prior month) of $2.1 million in DV01.


09:52 London – USD Swap Switches (Curve trades)

As the Swap Curve is steeper, we see higher volumes in 5Y10Y, 5Y30Y and 10Y30Y.



09:30 London – USD Swap Spreads

A few more trades, levels the same, 10Y at -15.5bps and 30Y -58.75bps.



09:14 London – USD IRS

USD Swap Rates hovering, …



08:25 London – EUR IRS

EUR Swaps also down with 5Y in negative territory.


08:15 London – Swap Spreads

Will also be watching Swap Spreads and volume in Spreadovers.

For yesterday we see the following in SDRView Pro.


And so far today:


Showing 30Y Swap Spreads out from -54.75bps to -59bps.

08:06 London – Last Week Recap

A quick look at what happened in USD IRS last week.


Rates up as Polls showed Clinton with a 4% lead, 5Y +10 bps from Friday close to Tuesday close.

So we expect at least that move and more down.

07:02 London – Trading Has Already Been Active

SDRView Pro is your place to stay updated via our data products. Already we see over 250 trades in USD swaps today, with over $12.4bn trading in semi bond 3s.

SDRView Pro as at 07:00 London

Using our API, we are updating our dashboard of prices in Excel. We see rates down up to 10 basis points, with a general steepening of the curve. This is consistent with reduced expectations of rate hikes in December – but no obvious repricing of fiscal policy as yet.




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