Short-dated sterling swap volumes surge
On April 22, traded volumes were four times the two-year average
Trading in sterling-denominated interest rate swaps erupted on April 22, with £60.9 billion ($75.7 billion) of notionals changing hands – the most in at least two years.
Data from the Depository Trust & Clearing Corporation (DTCC) shows last Wednesday’s trading of fixed-to-floating Libor instruments was over four times the daily average. Of the April 22 trades, 88% were for contracts maturing in one year or less, compared to a daily average of 22% since the start of 2018.
In spite of this
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