ESTR swap traded, finally!

A first ESTR swap has finally be traded.

The trade is reported in Risk.Net: ESTR swap trading gets under way  It is a EUR 100 millions, 1-week swap traded on 30 September (effective date 2 October) between HSBC and JP Morgan.

I know that ESTR will be published only as of today (actually yesterday rate, because of T+1 shenanigan) and people will argue that it was not possible to trade before and my "finally" is not warranted. I strongly disagree with that, as explained for a couple of months in some blogs (here and here). One could have traded forward start swaps or swaps with a pre-launch fallback to EONIA - 8.5 bps.

Moreover, CCP will accept clearing only on 21 October 2019 for LCH and 18 November 2019 for EUREX. CCPs explain their delay in providing that elementary service by the requirement for "client to be ready" (see my take here). There was no logical requirement for client to be ready for the CCP launch as clients are not obliged to clear those trades. Now it is clear - pun intended - that some clients were ready well before the CCPs and their delays are for CCPs internal reasons, not client fault or requirement.

Let see what today has in store for yesterday, I mean let's see later today, 2 October, what was the first ESTR fixing with value date yesterday, 1 October.

P.S. In the previous version of this post I confused the first publication date (2 October) with the first reference date (1 October). Shame on me!

Comments

Post a Comment

Popular posts from this blog

Multi-curve framework book: new edition in progress

Image
Subject: Interest Rate Modelling in the Multi-curve Framework: Foundations, Evolution, and Implementation It has been more than 10 years since I wrote the first edition of the multi-curve framework book. What happened in those 10 years? Why did it take me so long to start a new version? It took me roughly 10 years to write the first edition. The reason it took so long at that time, was that I did not know that I was writing it! I thought I was writing a couple of pages on an obscured and theoretical idea that there was not a `` one curve to rule them all '' but multiple curves. It turned out that it became the actual practice for very clear and important reasons. That was the excuse for the first edition, what is the excuse for the second edition? Since the first edition, many things happen, in particular: March 2015: BCBS - IOSCO: margin requirements for non-centrally cleared derivatives and mandatory variation margin July 2017: The future of LIBOR -- actually it...
Read more

Rigged: part 1 - Will there be a part 2?

Image
I have been reading book “Rigged: The Incredible True Story of the Whistleblowers Jailed after Exposing the Rotten Heart of the Financial” (Andy Verity, Flint, June 2023) for some time. It was published several month ago, but I just finished it. To my defence, I have to say that I don’t feel comfortable reading fiction where the “bad guys” are systematically winning by cheating. The book is the story of the miscarriage of justice done in the LIBOR manipulation story. The book content did not surprise me. For anybody having worked on a (swap) trading desk, it is clear that what was described by the accusation was impossible. It is not possible for some middle level trader to create a multi-year, multi-desk, multi-bank international conspiracy over open lines, broker lines, on open offices etc. without all around them, including compliance and senior management to be fully aware of what is going on. Moreover the regulators cannot be ignorant of the situation, except pleading complete in...
Read more

Treasury / Swap spreads are negative. And what?

In recent weeks there were several news articles related to the negative treasury/Swap spread. This is in particular the case of a Bloomberg article and a Zero Hedge blog . Some of the “information” in those notes are Swap rates are what companies, investors and traders pay to exchange fixed interest payments for floating ones. That rate falling below Treasury yields […]  is illogical in the eyes of most market observers, because it theoretically signals that traders view the credit of banks as superior to that of the U.S. government. It’s hard to overstate how illogical it is when swap spreads are inverted. That’s because it suggests that governments are less creditworthy than the very financial institutions they bailed out during the credit crisis just seven years ago. Let’s be clear, to me, those claims are purely wrong , nothing is “ illogical ” in negative swap spread. But why do I rant about that in the “multi-curve framework” blog? Because it is exactly the same that ...
Read more