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.

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. .

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.

How SOFR futures and options liquidity is building KfW: Where to go with EURIBOR and €STR?

DMO’s Stheeman on GEMMs and market volatility

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

Total Derivatives: Flows, News And Views | totalderivatives

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.

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

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

If

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

Dealer Rankings 2022: Fluid dynamics

to order a bespoke version of these rankings including only a selection of the results tables with your branding added to it, please contact

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The results of the dealer rankings poll and the associated feature are protected under copyright laws. Reproduction for either internal or external distribution, is strictly prohibited without the prior written permission of Total

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