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.