JULY 2018 - CURVEGLOBAL NEWSLETTER
CURVE POINTS | JULY 2018 ![]() Hi all, When you’re starting a new business it's easy to look at the daunting list of things that need to be done to achieve success – and see nothing but problems in front of you. Fortunately, this past month has not been like that. We’ve onboarded a number of new hedge funds that have already begun trading, we’ve seen record volumes, all-time open interest highs, and new banks have signed up both to trade and clear CurveGlobal futures. All the best, *Sterling Over Night Index Average (SONIA), benchmark administered by the Bank of England. ![]()
CurveGlobal® Three month SONIA Futures – accrual process By: Ian Murphy and Milain Thakkar It was noted in the last newsletter that the front Jun18 SONIA future contract would enter its accrual period on Wednesday 20 June and the colour naming convention would change from “front white” to “aqua”. On Wednesday 20 June the “front white” Jun18 Three month Sterling and the Inter Commodity Spread (ICS) priced SONIA minus Sterling both expired. The accrual period for Jun18 SONIA will be completed with the last relevant SONIA fixing for Tuesday 18 September (published T+1). The SONIA calculations and day counts are familiar to many but for those who are new to the concept of daily accrual here are the results of a simulation for a Mar18 SONIA future. Mar18 accrual simulation EDSP Calculation The EDSP shall be calculated by reference to the Overnight Index Average rate as calculated and published by the Bank of England in respect of each business day (on a T+1 basis) during the Accrual Period. ![]() Dates
Day counts
The Mar18 accrual simulation
The current accrual for Jun18 CurveGlobal® Three month SONIA
Monthly Volumes and Open Interest![]() Team Spotlight 60 Seconds with...Ralph Bird, Head of Product Development at CurveGlobal 1. What are you listening to/reading these days? I very rarely read novels these days, but my sister-in-law sent me No Middle Name, a collection of Jack Reacher short stories, which is great escapism. Apart from that I like to read Private Eye and keep up to date with the news online – especially The Times and Telegraph. The other day I googled Pompeii, having just got back from holiday in Italy where we visited the archaeological site, and came across a YouTube video of Dave Gilmour’s concert there in 2016. Since then I have been listening to the music of my school days – Pink Floyd, Led Zeppelin, Genesis etc. This makes a welcome change from listening to Andy singing Andrew Lloyd Webber hits in the office! (Or is he singing “Don’t cry… 4-3 Argentina”?) If that’s cheating, how about Brian Clough? One of the greatest football managers of all time – the winner of consecutive European Cup titles with Nottingham Forest, my childhood team. And Jurgen Klopp – Liverpool FC’s manager (his entertaining character wouldn’t go amiss). I doubt Brian’s methods would work these days but Jurgen needs some inspiration if he’s ever going to win a European final. Sticking to the sporting theme, I would complete the table with Sir Clive Woodward and Eddie Jones – England’s Rugby Union World Cup winning coach and his current counterpart. Maybe between us we could work out a winning strategy for the England team in Japan next year. Press Articles of NoteTURNING POINT IN JOURNEY TO LESS RISKY RATES BENCHMARK TRANSITION SPOTLIGHTS FUTURES TRADING LIBOR TRANSITION RAISES BASIS RISK FEAR BENCHMARK REFORM POSES CHALLENGE FOR VALUATION TEAMS CLEARERS DIVERGE ON SOFR SWAPS DISCOUNTING Come Visit us HereFIA // 34th ANNUAL FUTURES & OPTIONS EXPO FI // FIXED INCOME LEADERS SUMMIT To find out more about CurveGlobal or to offer suggestions on improving this newsletter, contact us at +44 20 7797 1055 or info@curveglobalmarkets.com. |