Market-leading Coverage of Global Rates www.totalderivatives.com Follow us on Total Derivatives Flows, News and Views
Editor’s View
In climbing, the approach is usually the easier bit before the rock. In rates, it feels like the market is beyond the approach but not yet at the peak. Central banks, uncertain about the outlook for inflation and recession-averse, can see the summit but still have work to do.
Total Derivatives’ aim is to help its clients plot their routes up and down the hill, tracking the weather and pointing out the avalanche risks.
Its subscribers – rates professionals at banks, hedge funds, asset managers, exchanges and SSAs - benefit from Total Derivatives’ detailed, informed coverage of the major swap, bond, inflation and volatility markets.
Intra-day reports, written by a mixture of ex-traders and experienced financial journalists with some of the best contacts in the business, keep Total Derivatives’ clients up to date with the standout news, flows and price action.
A user-friendly database of interest rate derivatives trades allows clients to drill down into market activity. And a wide range of curated research sources provide background, context and trade ideas across both cash and derivative markets.
Mark Ramsden, Global Managing Editor
Total Derivatives is independent and unbiased. Its reports feature a multiverse of views from traders, strategists and portfolio managers, with market colour backed up by information on standout flows and market positioning. Subscribers at many of the world’s major financial institutions have benefited from its market-moving news and analysis since 2001. Total Derivatives aims to extend this to more clients in 2023 and the following pages are intended to give a flavour of what it can offer participants from all sides of the market.
INTRODUCTION Total Derivatives: Flows, News And Views | totalderivatives .com | 2
Total Derivatives provides news and analysis of the global interest rate markets.
Swaps
Succinct reporting on the flows, news and data driving the interest rate swap curve and asset swap spreads. Trader comment, bank research and new issue activity all covered 1-3 times a day for USD, EUR, GBP, JPY and AUD swaps. The best contacts in the business.
Options
The only regular, independent coverage of USD and EUR interest rate option markets. Intra-day price action, structural developments, the impact of supply and value-added trade data sourced from Total Derivatives’ proprietary database of swaptions activity reported to the SDRs.
Basis
Cross-border new issue hedging, XVA desk flows and the impact of liquidity conditions on XCCY basis are all considered in frequent reports on activity and price action in the basis market.
Inflation
Dollar, euro and sterling cash and derivative inflation markets are all covered in regular reports written by experienced journalists in touch with key players in the market. CPI data, supply, positioning and market pricing are all covered
MTNs
Daily and weekly listings of new structured MTN issuance in USD, EUR and Asia-Pacific currencies including callables, CMS, repacks, Formosas and inflation-linked notes. .
WHAT WE COVER
Total Derivatives: Flows, News And Views | totalderivatives .com | 3
How liquidity in exchangetraded products developed following the switch to SOFR
CME Group’s SOFR futures and options contracts have seen “rapid acceleration, exponential growth,” as the market continues to move away from LIBOR, Agha Mirza, CME Group Global Head of Rates and OTC Products, tells Total Derivatives, with the current market environment spurring that growth..
EURIBOR continues to outlive LIBOR but key market participants are preparing for life beyond the benchmark and the eventual move to the euro risk-free rate.
As the world’s big capital market borrowers grapple with the new post-LIBOR era of risk-free reference rates (RFRs), there are a lot of transitions too be made, some of which involve more decision-making than others. Big US and UK borrowers (and lenders) have been firmly funnelled away from their respective LIBOR rates and into SOFR- and SONIA-based funding.
DMO CEO Sir Robert Stheeman discussed the state of the gilt market in the aftermath of the LDI crisis
The DMO chief Sir Robert Stheeman talked about the debt office’s third revision to its financing remit for 2022 (following similar events in April and September). The headlines were a smaller than expected total of planned gilt sales, a mere £169.5bn, versus an expected £193.9bn
Year-end turn fear not turning up? Euro vega eyes the BTP spread
How was the front end of the basis curve positioned for the year-end turn?
Freed from the distractions of cross-market bond issuance and with no clear signs of market panics – despite the odd wobble – evident so far this month, basis swappers this afternoon felt sufficiently emboldened to cautiously predict a quiet end to a noisy 2022.
Would the latest bout of turmoil in the BTP market spill over into the interest rate volatility surface?
Volatility traders linked the price action in euro vega to the big moves in BTPs as yields rose and spreads against core Europe surged.
OUR MOST POPULAR ARTICLES
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How SOFR futures and options liquidity is building KfW: Where to go with EURIBOR and €STR?
DMO’s Stheeman on GEMMs and market volatility
Click here to read the full article Click here to read the full article Click here to read the full article Click here to read the full article Click here to read the full article
TOTAL DERIVATIVES SWAP TRADES DATABASE
• Real-time database of IRS, option, inflation and basis trades
• Derived from the SDR
• User-friendly presentation including estimated swaption premiums
• Intra-day flow estimates for USD IRS, USD and EUR swaption activity
• Around 28 million trades and growing
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Global Managing Editor
Mark is responsible for global editorial output, though he focuses on coverage of the European derivatives markets. Before joining Total Derivatives in 2004, Mark was Head of European Research at Stone and McCarthy Research Associates, where he worked for 8 years. Prior to that, he was an economist with Sumitomo Trust Bank, HSBC and the UK government.
Yiying runs the Total Derivatives US product, specializing in IR swaps and options, and loves discussing topics such as skew. Before joining the team in May 2007, Yiying was a director trading USD and CAD interest rate derivatives at ABN Amro Bank for 12 years. Yiying lives in NYC with her husband and two sons and enjoys making pottery.
A battle-scarred veteran of derivatives journalism, Roger specializes in interest rate and inflation swaps. Focusing on the UK, he leverages his extensive contacts in the trader community, as well as among borrowers, investors and regulators, to provide a unique take on the market. Prior to joining Total Derivatives in 2002 Roger worked for Bridge News through stints in Sydney, Tokyo, New York and London.
Sarah began her career in Rates Sales at RBS in London and spent five years covering UK accounts. She then moved to Tokyo and joined Calyon Securities Japan, covering foreign and Japanese accounts for a further five years. She returned to London and studied for a MA in Financial Journalism at City, University of London before joining Total Derivatives in 2014.
Deridre has served a key role in the Asia-Pacific interest rate derivatives market since 2008, with key focus in Australia, China, Hong Kong and Japan. Prior to joining the company, she had spent a decade acquiring handson and management experience across different sectors including investment banking (mergers and acquisitions, and equity derivatives trading), corporate communications, marketing intelligence, public and analyst relations.
Ralph joined Total Derivatives in 2011 and his focus is on US fixed income derivatives with an emphasis on USD inflation. Before joining the team, Ralph worked as the Senior US Bond Strategist at 4Cast, Inc. for two years and prior to that he spent eight years prop trading various fixed income securities for the JPMorgan Chase Investment Portfolio.
MEET OUR EDITORIAL TEAM Total Derivatives: Flows, News And Views | totalderivatives .com | 6
Mark Ramsden
Sarah Ainsworth Senior Journalist Europe
Yiying Luthra Editor North America
Deirdre Yeung Senior Journalist Asia-Pacific
Roger James Senior Journalist Europe
Ralph Manigat Senior Journalist North America
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Dealer Rankings 2022: Fluid dynamics
Most banks came out of the pandemic in surprisingly good shape, judging by their recent results. However, the range of performance reported by FICC and/ or rates businesses was probably more variable than usual across dealers, against a backdrop of rising rates, accelerating inflation and increasingly hawkish central banks. This spread of performance was arguably reflected in the latest Total Derivatives Dealer Rankings. Except perhaps in interest rate swaps, first and second places proved to be fluid and were not always occupied by the same names as last year. Respondents commented that for some products such as inflation, banks that managed to keep a stable, experienced team in place, had an advantage over desks with more churn and personnel change. The latter was also cited as a factor in the market illiquidity that was mentioned frequently to Total Derivatives by traders across products and currencies over the last few months, and confirmed by bank
research flagging some persistent pricing anomalies even in the most liquid areas of rates. Lack of market depth combined with fear of tape bombs - either from the war, random corporate earnings announcements or hawkish central bankers breaking free of the pack - all added to dealers’ nervousness about warehousing risk for any longer than strictly necessary. More positively, last year’s Dealer Rankings included questions about the transition to SOFR. With a few notable exceptions, market participants and regulators generally seemed happy about the move to SOFR in swaps and cross-currency basis. The focus is now on non-linear OTC and exchange-traded products with CME announcing SOFR First for options this month. Ahead, as volumes in SOFR options start to rise above volume in Eurodollars, the CCPs are beginning to announce their plans for USD LIBOR’s funeral in 2023, after which the focus must eventually turn to transitioning away from EURIBOR.
Dealer Rankings 2022: Fluid dynamics
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Dealer Rankings 2022: Fluid dynamics
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DEALER RANKINGS
To see our latest content, sign up for your free trial at www.totalderivatives.com/sign-up Contact us at: info@totalderivatives.com or call: +44 (0)20 7779 Market-leading Dealer Rankings 2022: Fluid dynamics Interested in a bespoke version of the Dealer Rankings? If you want to order a bespoke version of these rankings including only a selection of the results tables with your branding added to it, please contact Sunil Sharma sunil.sharma@totalderivatives.com or call +44 (0)20 7779 8556 The results of the dealer rankings poll and the associated feature are protected under copyright laws. Reproduction of for either internal or external distribution, is strictly prohibited without the prior written permission of Total Derivatives All interest rate derivatives JPMorgan 17.3% 2 Barclays 9.1% 3 Citigroup 8.5% 4 Goldman Sachs 7.9% 5 Deutsche Bank 7.5% USD 2-10y IRS JPMorgan 28.9% 2 BofA 13.3% 3 Citigroup 12.6% 4 Morgan Stanley 7.1% 5 Citadel Securities 6.1% USD 10-50y IRS JPMorgan 28.9% 2 BofA 14.2% 3 Citigroup 13.0% 4 Goldman Sachs 9.3% 5 Deutsche Bank 6.5% USD interest rate options Morgan Stanley 15.1% 2 JPMorgan 14.5% 3 Goldman Sachs 12.3% 4 Citigroup 9.5% 5 Deutsche Bank 8.9% USD inflation derivatives and cash JPMorgan 18.2% 2 Citigroup 16.2% 3 BofA 14.1% 3 Goldman Sachs 14.1% 5 Barclays 7.1% USD interest rate structured notes Morgan Stanley 21.7% 2 JPMorgan 17.4% 3 Goldman Sachs 13.0% 4 BofA 9.8% 5 Citigroup 8.7% EUR 2-10y IRS BNP Paribas 19.8% 2 JPMorgan 15.7% 3 Deutsche Bank 13.7% 4 Barclays 10.2% 5 Goldman Sachs 7.1% EUR 10-50y IRS BNP Paribas 2 Deutsche Bank 3 JPMorgan 4 Goldman Sachs 5 Barclays EUR interest rate options JPMorgan 2 BNP Paribas 3 Barclays 4 Goldman Sachs 5 BofA EUR/USD cross currency basis JPMorgan 2 Citigroup 3 Credit Agricole 4 Deutsche Bank 5 Barclays EUR inflation cash and derivatives Barclays 2 Deutsche Bank 3 BNP Paribas 3 JPMorgan 5 Citigroup EUR interest rate structured notes JPMorgan 2 Morgan Stanley 3 Citigroup 4 Credit Agricole 5 BNP Paribas JPY 2-10y IRS Mitsubishi UFJ 2 Mizuho 3 JPMorgan 4 Nomura 5 Sumitomo Mitsui JPY 10-50y IRS Mizuho 2 Mitsubishi UFJ 3 Nomura 3 JPMorgan 5 Sumitomo Mitsui
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JPMorgan 17.3% 2 Barclays 9.1% 3 Citigroup 8.5% 4 Goldman Sachs 7.9% 5 Deutsche Bank 7.5% USD 2-10y IRS JPMorgan 28.9% 2 BofA 13.3% 3 Citigroup 12.6% 4 Morgan Stanley 7.1% 5 Citadel Securities 6.1% USD 10-50y IRS JPMorgan 28.9% 2 BofA 14.2% 3 Citigroup 13.0% 4 Goldman Sachs 9.3% 5 Deutsche Bank 6.5% USD interest rate options Morgan Stanley 15.1% 2 JPMorgan 14.5% 3 Goldman Sachs 12.3% 4 Citigroup 9.5% 5 Deutsche Bank 8.9% USD inflation derivatives and cash JPMorgan 18.2% 2 Citigroup 16.2% 3 BofA 14.1% 3 Goldman Sachs 14.1% 5 Barclays 7.1% USD interest rate structured notes Morgan Stanley 21.7% 2 JPMorgan 17.4% 3 Goldman Sachs 13.0% 4 BofA 9.8% 5 Citigroup 8.7% EUR 2-10y IRS BNP Paribas 19.8% 2 JPMorgan 15.7% 3 Deutsche Bank 13.7% 4 Barclays 10.2% 5 Goldman Sachs 7.1% EUR 10-50y IRS BNP Paribas 19.6% 2 Deutsche Bank 16.2% 3 JPMorgan 14.0% 4 Goldman Sachs 11.7% 5 Barclays 10.1% EUR interest rate options JPMorgan 16.5% 2 BNP Paribas 15.7% 3 Barclays 11.0% 4 Goldman Sachs 9.4% 5 BofA 6.3% EUR/USD cross currency basis JPMorgan 18.8% 2 Citigroup 11.4% 3 Credit Agricole 11.4% 4 Deutsche Bank 10.8% 5 Barclays 8.0% EUR inflation cash and derivatives Barclays 16.8% 2 Deutsche Bank 14.7% 3 BNP Paribas 12.6% 3 JPMorgan 12.6% 5 Citigroup 9.5% EUR interest rate structured notes JPMorgan 15.7% 2 Morgan Stanley 12.4% 3 Citigroup 12.4% 4 Credit Agricole 10.1% 5 BNP Paribas 9.0% JPY 2-10y IRS Mitsubishi UFJ 20.4% 2 Mizuho 14.3% 3 JPMorgan 14.3% 4 Nomura 12.2% 5 Sumitomo Mitsui 8.2% JPY 10-50y IRS Mizuho 21.2% 2 Mitsubishi UFJ 19.2% 3 Nomura 9.6% 3 JPMorgan 9.6% 5 Sumitomo Mitsui 7.7% To
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JPY interest rate options 1 Mizuho 23.2% 2 Mitsubishi UFJ 14.3% 3 Sumitomo Mitsui 12.5% 3 JPMorgan 12.5% 5 Nomura 8.9% inflation derivatives and cash 1 Mizuho 25.0% 2 Mitsubishi UFJ 18.2% 3 Goldman Sachs 11.4% 4 Nomura 9.1% 5 Sumitomo Mitsui 6.8% GBP 2-10y IRS 1 Barclays 26.6% 2 NatWest Markets 19.1% 3 JPMorgan 10.6% 4 BofA 9.6% 5 Goldman Sachs 8.5% GBP 10-50y IRS 1 NatWest Markets 24.7% 2 Barclays 20.0% 3 JPMorgan 10.6% 4 BofA 9.4% 5 Deutsche Bank 7.1% GBP interest rate options 1 Barclays 30.7% 2 NatWest Markets 18.2% 2 JPMorgan 10.2% 3 Deutsche Bank 9.1% 4 Goldman Sachs 5.7% GBP inflation derivatives and cash 1 Barclays 22.6% 2 Goldman Sachs 16.1% 3 NatWest Markets 14.5% 4 BofA 11.3% 4 HSBC 11.3% All USD interest rate derivatives 1 JPMorgan 22.6% 2 Citigroup 11.7% 3 BofA 11.6% 4 Goldman Sachs 9.1% 5 Morgan Stanley 8.7% All EUR interest rate derivatives 1 JPMorgan 2 BNP Paribas 3 Deutsche Bank 4 Societe Generale 5 Barclays All JPY interest rate derivatives 1 Mizuho 2 Mitsubishi UFJ 3 Nomura 4 JPMorgan 5 Sumitomo Mitsui All GBP interest rate derivatives 1 Barclays 2 NatWest Markets 3 JPMorgan 4 BofA 4 Goldman Sachs All IRS 1 JPMorgan 2 Barclays 3 Deutsche Bank 4 BofA 5 Citigroup All interest rate options 1 JPMorgan 2 Barclays 3 Goldman Sachs 4 Morgan Stanley 5 Deutsche Bank All inflation 1 Barclays 2 Citigroup 3 Goldman Sachs 4 JPMorgan 5 BofA All interest rate structured 1 Morgan Stanley 2 JPMorgan 3 BofA 4 Citigroup 5 Goldman Sachs Contact us here if you would like a copy of the 2022 results. Total Derivatives: Flows, News And Views | totalderivatives .com | 7 Market-leading Coverage of Global Rates Total Derivatives Dealer Rankings 2022: The Results www.totalderivatives.com Total Derivatives Dealer Rankings 2022 – The Results Download now for FREE! • Is JP Morgan still top for dollar swaps? • Which bank is best for basis? • Can Barclays regain its first place for inflation?
Total Derivatives is the prime source of expert fixed income news and analysis.
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Total Derivatives produces market-leading coverage of the bond, swap and options markets, and also provides must-have information on inflation derivatives, structured notes and MTNs. Our editorial team – the leader in its sector – draws on trading expertise gained at top investment banks and combines that with the unparalleled contacts of the best journalists in the business.
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Banks, issuers, debt agencies, exchanges, trading platforms, clearing houses, inter-dealer brokers, asset managers, consultants and software companies are among the types of company that may wish to use totalderivatives.com as a channel to access a hard-to-reach audience.
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