Friday, 29 January, 2021
Month End Index Extensions for end of January (Update): Gilts: +0.06 US Tsy: +0.08 EGBs: +0.13 (includes the French syndicated deal, no other estimations) After 3 consecutive months of duration contraction, UK sees some duration extension mostly driven by the syndication of the new 25y benchmark for £6.50bn US extension is pretty typical for a non-refunding month and compares with a 0.07y extension last January Good duration extension in Germany (+0.15y) but second biggest drop […] Read More
Thursday, 28 January, 2021
downside interest to pin the TY 137 strike into expiry initially looked at TYH1 137.5/137/136.5 p fly 4/5 . . small shrt vol and better risk return than being long vol on shrt dated 137/136.5 ps.. so liked it as the access point for a 137.5 p then looked at the roll up week 1 137.5/137/136.5 is 7 mid week 2 137.5/133/136.5 is 5 mid so we would look to buy the week 2 version […] Read More
Thursday, 28 January, 2021
AUS Rates – Markets getting exciting now! AUDUSD in particular coming under pressure as Iron Ore and metals simultaneously look to be correcting. Old Dr Copper in particular seems one to keep an eye on given record long positioning and a major trend about to be tested which could have important implications given its status as China’s growth proxy- keep an eye on USDCNH breaking 6.50. The confluence of this combined with USD short […] Read More
Thursday, 28 January, 2021
From: Chris Jarvis <chris.jarvis@archr.com> Sent: 27 January 2021 16:10To: Futures <futures@archr.com>Subject: Building on some evolving themes Starting to see some of these themes of the global growth sub-cycle starting to peak accompanied by tightening liquidity conditions starting to evolve. For these themes to develop further and a stronger USD to start to reinforce the other direction you would expect to see financial conditions starting to tighten in emerging markets (proxied with EMB) and […] Read More
Tuesday, 26 January, 2021
Speech by Edwin Schooling Latter, Director Markets and Wholesale Policy at the FCA, delivered at City & Financial’s Managing LIBOR transition event on 26 January 2021. Speaker: Edwin Schooling Latter, Director of Markets and Wholesale PolicyLocation: City & Financial’s Managing LIBOR transition eventDelivered on: 26 January 2021 Highlights: 85% of uncleared UK derivatives market ready for the end of LIBOR as 12,500 firms sign the ISDA protocol IBA consultation on proposed end-dates for LIBOR has now closed, […] Read More
Tuesday, 26 January, 2021
FCA on Libor Transition https://www.cityandfinancialconferences.com/events/managing-libor-transition-update-and-practical-guidance-for-uk-financial-institutions-and-users/fees-61e821abe79649388c640a910dc87089.aspx?5S,M3,61e821ab-e796-4938-8c64-0a910dc87089 The FCA will be publishing the speech on the FCA website at c12:30pm London time via the following link: https://www.fca.org.uk/news/search-results?category=speeches&start=1 ——————————————————————————-This message may contain confidential or privileged information. If you are notthe intended recipient, please advise us immediately and delete this message.The unauthorised use, disclosure, distribution and/or copying of this e-mail orany information it contains is prohibited.This information is not, and should not be construed as, a recommendation,solicitation or offer to buy or sell any securities or related financialproducts. This information does not constitute investment advice, does notconstitute a personal recommendation and has been prepared without regard tothe individual financial circumstances, needs or objectives of persons whoreceive it. Read More
Tuesday, 26 January, 2021
Building on yesterday’s rationale for a period of higher volatility and stretched positioning is to put it within the context of dealer S&P gamma “The most common SPX option flows, post-2008, are customers buying OTM puts and selling OTM calls. This creates and sustains a momentum effect, whereby higher prices lead to higher GEX, and higher GEX improves top-of-book (nearby bid-ask) liquidity, and better liquidity means that dips always get bought. This works […] Read More
Tuesday, 26 January, 2021
Asutralia—- Clancy Of The Overflow I had written him a letter which I had, for want of betterKnowledge, sent to where I met him down the Lachlan, years ago,He was shearing when I knew him, so I sent the letter to him,Just `on spec’, addressed as follows, `Clancy, of The Overflow’. And an answer came directed in a writing unexpected,(And I think the same was written with a thumb-nail dipped in tar)‘Twas his shearing mate […] Read More
Monday, 25 January, 2021
Commerzbank was out last Wednesday with a note on the ongoing LIBOR transition. They expect an official cessation announcement could come as soon as next week with ICE’s consultation round on discontinuing Libor set to end on Jan 25th. Such an announcement could either come from the Intercontinental Exchange (ICE), who published Libor or the Financial Conduct Authority (FCA), ICE’s regulator. Recall, the cessation announcement is critical for the calculation of ISDA fallbacks, i.e. substitute […] Read More
Monday, 25 January, 2021
BoA- Libor update This Monday (25 January), will see ISDA’s IBOR Fallbacks Supplement and Protocols formally come into effect, with all new derivatives that reference the definitions adopting the fallbacks. Some have suggested that we may see these fallbacks triggered immediately (or almost immediately) thereafter, fixing Libor-Sonia spread adjustments. Although possible, BoA think this unlikely. The “permanent cessation trigger” event the market is waiting for is the IBA’s determination following the conclusion of its consultation […] Read More
