Crash, Bang, Wallop!  

This month marks our two-year anniversary – and what a journey it’s been. So please accept a small amount of reflection as starting, running and driving CurveGlobal has been in equal measure immensely challenging and supremely fun.     

Those of you who know me well, know that I love a good metaphor, so wait for it...While we’re in the foothills, we have walked many miles but still have peaks to climb. For the progress to date, we can only thank all our participants for embracing the opportunity to make a difference to the futures markets and in doing so, creating more efficient (= profitable) markets in which to operate.

Many of you have joined in record numbers in recent weeks. Perhaps that’s unsurprising given that OI is sitting at over 300K lots, there were record volumes and volume share in August (while many other exchange volumes were down), and we’ve consistently offered best pricing. The growing numbers of buy-side, sell-side and PTG firms trading and owning positions is a reflection of the value customers see in CurveGlobal products – so my thanks again to everyone for joining us on the journey to a better future.

Momentum growing

When we set out on this venture, our aim was to liberate the futures market for the benefit of all participants. Introducing competition, driving choice, launching new products, and lowering fees were all priorities.

Two years on, there is a real sense of momentum. The lower block thresholds (at regulatory Large In Scale levels) have meant a thriving set of brokers are conducting block business inside the on-screen price for ever more clients. If you need to hedge risk in a low volatility environment, do you really want to sit on the offer all day long and risk not getting filled? Work it at mid-market! And the change to a half tick has meant that we’re consistently best price at the front of the book.

As the risk of a Hard Brexit continues we offer a solution as a Brexit hedge, a no-cost/low-cost way of maintaining access to EUR derivatives markets without having to set up an additional European entity and become a member of Eurozone exchanges and CCPs. Furthermore, as the concerns over the Italian budget unnerve the EU, and the worries about EU-based closed cycle clearing increase (EU clients in the EU clearing EU products), why not diversify your risk and trade your futures in a global market in the UK, while deriving all the benefits of clearing with LCH?

But we’re not stopping here.

Full steam ahead

We’ve got exciting plans with partners to launch new products and continue rebuilding what was a broken market structure.

Portfolio margining for the long end of the interest rate curve is due to go live at LCH in November. We’re already seeing firms ask us and banks about switch trades, to minimise the margin across exchanges. How exciting!

My thanks for taking the time to read this note but, more importantly, for joining the market, trading positions, and for the advice and encouragement. CurveGlobal would not be here were it not for the support and demand from the market, so it’s humbling to see what can be delivered when we work together. in meliora contende

Thanks,
Andy Ross
aross@curveglobalmarkets.com

Trade Concept

STIR Futures, Best Execution and Strategy Trading Round-up

By: Ian Murphy

Continued growth in CurveGlobal volumes and open interest

• August has seen record volumes and the continuing trend of rising Open Interest

• New record for monthly volume at 384,352 lots

• Month-end Open Interest stands at a high of 302,257 lots

• Open Interest increase of 85% in 2018 from 31 December 2017

Three month Euribor®

• End of August Open Interest 143,972, increase of 76% in 2018

• August volume of 164,904 was a new monthly record

Three month Sterling

• Half ticks introduced from 23 April 2018 for outrights, spreads and strategies

• End of August Open Interest 143,686, increase of 77% in 2018

• August volume at 126,095 was the second highest monthly volume since inception

The CurveGlobal® Three month SONIA

• Free of fees throughout 2018

• Cumulative volume since launch 216,427 lots, to end of August

• End of August Open Interest 14,404 lots

• August volume 92,986 lots – a new record

Best execution focus in Three month Sterling

• CurveGlobal introduced half ticks across all maturities, spreads and strategies on 23 April 2018

• Growing presence of the best price in the market

• Independent analysis by big xyt highlights, data 30 April to 27 August, time presence

  • “whites” best bid 10.2% and best ask 9.9% 

  • “whites” equal price bid 84.1% and equal ask 82.9%

  • “whites” when equal in price the CurveGlobal order book showed between 18.3% and 18.6% of the “At The Touch” liquidity

  • “reds” data for best price 6.6% and 8.1% for bid and ask

  • “reds” equal price levels are 80% and 82.2%

  • “reds” when equal in price the CurveGlobal order book showed between 15.6% and 19.3% of the “At The Touch” liquidity

Figure 1 shows the independent analysis by big xyt of the white and red CurveGlobal® Three month Sterling order book.

September EDSPs and Accrual

• Tuesday, 18 September SONIA fixing (published T+1) completes the series for the CurveGlobal® Three month SONIA JUN18

• Wednesday, 19 September: the CurveGlobal® Three month SONIA JUN18 expires

• Wednesday, 19 September: the SEP18 Three month Sterling contract expires

• Wednesday, 19 September: the CurveGlobal® Three month SONIA SEP18 enters its accrual period until 18 December

Futures Strategies

• With the growing participation of CurveGlobal STIR futures we take a look at how our participants are utilising the different strategy types available

• All strategies include implied pricing from outright contracts

• All CurveGlobal STIR futures have minimum price increments of 0.005

• All STIR futures packs are priced following the “Average Difference Change” methodology

  • Sum the 4 price changes, times 100 and divide by 4

  • With minimum Pack price increments of 0.005*100/4 = 0.125

• Fractional price granularity offered by multiple block trades is available for outright and strategy trades

• Outright orders are the major flows themes in Three month Euribor® and Three month Sterling

• The ICS, CurveGlobal® Three month SONIA minus Three month Sterling generates 49% of the SONIA based strategy flows and also 20% of the LIBOR based contract

• CurveGlobal® Three month SONIA strategy orders, whether calendar spreads or multi-leg butterflys, condors and packs, are helping to create the contracts yield curve shape

Figure 2 shows the volume split for STIR futures between the different types of execution strategy for CurveGlobal STIRs.

*Trade data from 30/04/18 to 27/08/18

CurveGlobal Product Contract Specification

Monthly Volumes and Open Interest

CurveGlobal SONIA Update Video

Andy Ross, CurveGlobal CEO, talks on LIBOR reform and the growing adoption of the CurveGlobal® Three month SONIA Futures contract.

To watch the video, click on the image below or view it on our website here.

Team Spotlight 60 Seconds with...

Milain Thakkar, Product Development at CurveGlobal

1. What are you listening to/reading these days?

The most recent book that I’ve read is Sapiens by Yuval Noah Harari – it gives us a snapshot of how the human race has evolved over millennia from the genesis of mankind itself in East Africa to establishing our current stance in the world ecosystem.
 
I must admit that this wasn’t the sort of book that I would normally pick off of a bookshelf, but on advice of a friend of mine I gave it a shot. I would recommend it to anyone interested in anything ranging from the physiological development of mankind as a species to those who have an inclination towards understanding philosophy and the global socioeconomic issues in our world today.
 
Another book I would strongly recommend is The World’s Fittest Book by Ross Edgley. This one is aimed at people interested in understanding the capabilities of the human body and how to achieve their fitness goals. For context, it’s written by a guy who did a triathlon with a tree tied to his back and also tried to swim 100km with a 100lb tree tied to his waist.
 
I listen to all sorts of music, although I would have to say that I generally lean towards house, trance and hip-hop. One of the best and most surreal experiences I have had in my life was going to Tomorrowland, which is an electro/house music festival in Belgium. If you are lucky enough to get tickets, it is definitely something worth doing.

2. What is the one thing you can’t live without?

Obviously my family, but if I had to choose one other thing it would be tasty food. I am a “Live to Eat” kind of person – going to new restaurants with friends/family and trying different cuisines is legitimately one of the best ways I can think of to spend my time. The Fat Duck in Oxford has been the culinary highlight of 2018 so far.

3. If you could invite any four dinner guests past or present who would you choose?

Dwayne Johnson (The Rock). Besides being one of Hollywood’s top earners, those who follow his social media know that he is a seriously hard worker. I think there’s quite a lot I could learn from him – he has overcome quite a bit of adversity in life to get to where he is today.
 
Joe Rogan (standup comedian, UFC and podcast host). If you listen to his podcast you will know why I would invite him. The guests that he has interviewed range from hedge fund owner, Ray Dalio, to movie producer, Guy Ritchie, and are some of the most prominent people in their respective fields. I think he would contribute some interesting perspectives, given his experiences.
 
Kevin Hart. I saw him perform live at the O2 earlier this month, he is absolutely hilarious.
 
Elon Musk. He divides opinion but at the end of the day I think he will still go down as one the visionaries of my generation. I would like to meet him to get to understand his psyche and the thought process behind some of his more recent decisions.

4. You can do any job for just one day, what would it be?

Marine biologist in the Galapagos Islands. I’m a big fan of scuba diving and getting the opportunity to do it in the Galapagos Islands would be an awesome experience and something else to tick off the bucket list.

5. Ten years ago, where did you think you would be now?

I thought I would be a qualified surgeon at this point. Clearly things took a bit of a turn along the way!

Press Articles of Note

TIME RUNNING OUT FOR EU BREXIT TEMPORARY PERMISSIONS REGIME RISK.NET

ECB LOOKS TO ‘ACCELERATE’ ESTER PUBLICATION 
RISK.NET

HOW MUCH OF THE SWAPS MARKET IS TRADED AS AN OIS?
CLARUSFT.COM

DEALERS SEEK FRTB CARVE-OUT FOR LIBOR TRANSITION
RISK.NET

Come Visit us Here

FIA // 34th ANNUAL FUTURES & OPTIONS EXPO
FIA EXPO CHICAGO
16-18 October // Hilton Hotel // Chicago

FI // FIXED INCOME LEADERS SUMMIT
FIXED INCOME LEADERS SUMMIT
6-8 November // Beurs van Berlage // Amsterdam

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.