JUNE 2018 - CURVEGLOBAL NEWSLETTER
CURVE POINTS | JUNE 2018 ![]() Hi all, The second thing that has stayed with me this week was from a market participant who, in a discussion about Swiss LIBOR replacement, said that IBA waterfall work to strengthen CHF LIBOR will lead to higher volatility in all cases. This could lead to lower rates in Swiss francs, and Swiss LIBOR could be almost entirely based on “Expert Judgement”. Double wow! For me, the big risk issue around the benchmark shifts is what technical changes will occur in the futures markets? Will the changes to the LIBOR rate change the fundamental nature of the use of hedging in the market? Will underlying market dynamics be different? Will some people use other products? If I had a risk position or trading strategy using positions along the curve, I’d be looking at whether the technical factors around the transition could impact the market away from historical trading patterns. So we took a look at the data. It shows a switch to new benchmarks has already started – looking at the OI change in futures and SONIA-based discounting swaps at LCH. If you’re not trading CurveGlobal SONIA – are you missing out? All the best, ![]() The ICS Difference At CurveGlobal, we’re here to help the market trade more efficiently – we’re not here to tell anyone what, where or how to trade. That’s why we’ve added the CurveGlobal® Three month SONIA product to our list of products executed on LSEDM and then cleared at LCH. Here’s a quick look at this first month’s data profile for volumes and OI: ![]() On 14th June 2018, the CurveGlobal® Three month SONIA contract had a record volume day of 4,784 lots, which took the total traded since launch to 31,039 (at time of publication). Trade Concept CurveGlobal® Three month SONIA Future – front contract goes into accrual By: Ian Murphy The CurveGlobal® Three month SONIA Futures contract started trading on 30th April.
Table 1 shows the first month’s volume and the split between the different types of execution strategy.
Table 1 ![]() Table 2 highlights the contract listing from the morning of Thursday 21st June. CurveGlobal® Three month Sterling On Wednesday 20th June:
On Thursday 21st June:
CurveGlobal® Three month SONIA On Wednesday 20th June:
On Thursday 21st June:
Table 2 ![]()
Monthly Volumes and Open Interest![]() Team Spotlight 60 Seconds with...James Brinsden, Programme Manager at CurveGlobal 1. What are you listening to/reading these days? I’ve just started reading a book called Thinking in Bets by Annie Duke – Andy gave it to me the other day. I was always taught, back in my old army days, that ‘the only bad decision is no decision’, and that ‘hope is not a course of action’. This book sets out how we often have to make important decisions, based on whatever information we have at the time we make the decision, but that the outcome is not always a favourable one. The book attests that a poor outcome doesn’t mean that a poor decision was made. For me, this book reinforces my view that: you make decisions; you learn from them; you move on – you don’t regret decisions you made in the past. I think this is a great way to live your life. It frees your mind, enabling you to be happier and more successful in whatever you do. I have a very varied musical taste. My 18-year-old daughter often laughs at me when she catches me singing along to Taylor Swift or Hailee Steinfeld in the kitchen while cooking. I have to admit to also liking a bit of Heavy Metal. My current favourites are the Danish heavy metal band, Volbeat and American heavy metal band, Disturbed. 2. What is the one thing you can’t live without? Other than my family it would have to be work. Whatever work it is. I couldn’t ever retire. I have to be doing something all the time. Being engaged in producing something in collaboration with others, makes me happiest. I’m not a big one for hobbies! 3. If you could invite any four dinner guests past or present who would you choose? My four closest friends. I don’t care much for rich and famous people, as interesting as they might be. I’d much rather have a blast with those I care about the most. 4. You can do any job for just one day, what would it be? A mountain rescue team member. I would love to have the chance to save someone’s life. That must be one of the most rewarding experiences ever. 5. Ten years ago, where did you think you would be now? Working, trying to pay the mortgage and school fees. Press Articles of NoteJAY POWELL MAKES HIS MARK AS FED RAISES RATES ITALIAN DEBT STRIFE REVEALS PITFALLS OF EUROPE’S MARKET STRUCTURE Come Visit us HereGFII // 12th ANNUAL DERIVATIVES SUMMIT FIA // 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. |