Showing posts with label rates. Show all posts
Showing posts with label rates. Show all posts
Wednesday, 26 June 2024
Japanese Yen Falls to Record Low versus USD
USDJPY is trading at 160 yen to the dollar (26 June 2024), down from the 140s in January 2024, and 130s in January 2023. Relative strength indicators suggest the yen is oversold. When USDJPY hit 160 on April 29th, Japan started buying yen for dollars, according to market participants. Currency traders however remained strategically bearish on yen based on expectations on the interest rate differential - the premise that Japanese rates will remain low in contrast with relatively high US interest rates. Standard Chartered reflected that the April intervention is unlikely to be a "one and done move".
Thursday, 5 March 2020
RBA then Fed Cuts Rates in Bid to Provide Stimulus in Wake of Coronavirus
The Fed has lowered its benchmark rate by 50 bps to provide a "meaningful boost" to the economy, in words of Chair Jerome Powell. US President Donald Trump has tweeted support and called for "more easing and cutting". The Fed's last emergency rate cut was in 2008. Australia and Malaysia have also cut rates, with the RBA declaring a 25bp rate cut to 0.50 percent, and saying "The Board is prepared to ease monetary policy further to support the Australian economy".
Monday, 29 February 2016
What Kinds of Volumes are Being Done on Cleared Interest Rate Swaps?
Volumes Compared by Currency
The CME Group's clearing solution for interest rate swaps is doing considerable volume.
For trade date February 26, 2016, $21.6 billion of swaps were traded, with $12.5 trillion open interest. Dollar and Euro are trading around parity (with the Euro being slightly more valuable), so that's a 20 bn EUR equivalent trading volume.
Euro swaps traded only 5.2 billion euros worth in comparison. So the volume of USD swaps is approximately four times as large.
Swaps on GBP actually exceed USD swaps in trading volume terms, for the same day, 24 billion pounds traded, which is around $34 bn (which is about 1.5x larger).
Cleared Swaps on Different "Flavours of LIBOR"
The CME clear swaps on USD Libor, Euribor and plain old "LIBOR" (which is GBP LIBOR of course) as well as host of other currencies.
Where Are Rates At - USD Libor
Friday's level for USD Libor Overnight was 37 basis points. 1 month is 43 basis points and 3 month USD Libor is 63 bps. A daily update on USD Libor levels can be found here. 1year USD Libor is 116 basis points.
"Regular" LIBOR
Overnight is 48bps, 1 month is 50 bps, and 3 months is 59 bps. 1 year LIBOR is close to 100 bps.
Who sets the LIBOR Rates
The former BBA Libor is now known as ICE Libor following the reform of the benchmark and management by ICE Benchmark Administration. The Wheatley Review of LIBOR in 2012 made specific recommendations for the reform of LIBOR including a change of administration. Under a tender process led by Baroness Hogg, the NYSE Euronext came up trumps (later renamed to ICE Benchmark Administration). Both administering and making submissions to LIBOR became regulated activities from 1 April 2013 - LIBOR being the first benchmark to be regulated.
As part of their activities, ICE has a dedicated surveillance team identifying breaches of submission standards and tolerances through "a combination of alerts and pattern matching".
Other Benchmark Rates administered by ICE
The ICE Swap Rate is the new replacement for ISDAFIX effective August 2014. ICE also now administer the LBMA Gold Price.
The Greatest Volume of Swaps
Interest Rate Swaps, followed by Overnight Indexed Swaps followed by basis swaps.
The CME Group's clearing solution for interest rate swaps is doing considerable volume.
For trade date February 26, 2016, $21.6 billion of swaps were traded, with $12.5 trillion open interest. Dollar and Euro are trading around parity (with the Euro being slightly more valuable), so that's a 20 bn EUR equivalent trading volume.
Euro swaps traded only 5.2 billion euros worth in comparison. So the volume of USD swaps is approximately four times as large.
Swaps on GBP actually exceed USD swaps in trading volume terms, for the same day, 24 billion pounds traded, which is around $34 bn (which is about 1.5x larger).
Cleared Swaps on Different "Flavours of LIBOR"
The CME clear swaps on USD Libor, Euribor and plain old "LIBOR" (which is GBP LIBOR of course) as well as host of other currencies.
Where Are Rates At - USD Libor
Friday's level for USD Libor Overnight was 37 basis points. 1 month is 43 basis points and 3 month USD Libor is 63 bps. A daily update on USD Libor levels can be found here. 1year USD Libor is 116 basis points.
"Regular" LIBOR
Overnight is 48bps, 1 month is 50 bps, and 3 months is 59 bps. 1 year LIBOR is close to 100 bps.
Who sets the LIBOR Rates
The former BBA Libor is now known as ICE Libor following the reform of the benchmark and management by ICE Benchmark Administration. The Wheatley Review of LIBOR in 2012 made specific recommendations for the reform of LIBOR including a change of administration. Under a tender process led by Baroness Hogg, the NYSE Euronext came up trumps (later renamed to ICE Benchmark Administration). Both administering and making submissions to LIBOR became regulated activities from 1 April 2013 - LIBOR being the first benchmark to be regulated.
As part of their activities, ICE has a dedicated surveillance team identifying breaches of submission standards and tolerances through "a combination of alerts and pattern matching".
Other Benchmark Rates administered by ICE
The ICE Swap Rate is the new replacement for ISDAFIX effective August 2014. ICE also now administer the LBMA Gold Price.
The Greatest Volume of Swaps
Interest Rate Swaps, followed by Overnight Indexed Swaps followed by basis swaps.
Saturday, 31 January 2015
"Stabilising Inflation" Behind Russian Rate Cut to 15%
The Russian Central Bank has announced a rate cut from 17% to 15%, following which the rouble fell 2% against the dollar, making the dollar worth about 70 roubles. The IMF forecasts the Russian economy will contract by 3% in 2015 and 1% in 2016.
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