Options - GBP
GBP Swaps: Market rattled to its core; It’s Truss-time ag...
At the 4:15pm close today the 10y gilt yield was 13.5bps higher on the day as Bunds plunged and SONIAs gave up the ghost.
GBP Swaps: Long end drives bull-flattening; Linker views
The long end drove bull-flattening along the sterling curve today amid cheapening in asset swap spreads. Banks look at linkers ahead of the IL73.
EUR Vol: Unloved top left finds buyers
The top left has seen a few buyers emerge after being described as unloved in recent sessions.
London loses market share in OTC derivatives trading: BIS
Where are most OTC interest rate derivatives traded? Still London, but not as much as in the past according to the latest BIS data.
EUR Vol: Bids return amid another gilt-led selloff
Bids in euro vol returned as as gilts led another selloff in fixed income.
EUR Vol: Bid across grid; Top right rebounds
Euro implied vols were bid across the grid and the right-hand side rebounded after recent underperformance.
JPY Swaps: Spreads cheapen on sell-off; Border relaxation
JPY swap spreads have cheapened as JGBs have sold off. Japan is planning to loosen its restrictive border rules.
GBP Swaps: Gilts richer after DMO cuts sales target
A larger-than-expected cut in planned 2022/23 issuance has seen gilts modestly outperform cross-market and against swaps following the DMO Remit.
November 8th is SOFR First for non-linear
MRAC has set November 8th as the date for switching interdealer trading conventions from LIBOR to the SOFR for USD non-linear derivatives.
GBP Vol: Tentative sellers after recent highs
A few tentative sellers emerge in the sterling vol market following recent highs.