AFR: The RBA could increase its QE program at any time… […] Read More
AFR: Aussie QE will not fuel asset price bubbles What makes the bubble-trouble talk ridiculous is that long-term Australian interest rates, and our dollar, have been increasing, not decreasing, in lock-step with moves around the world. The RBA’s mission with QE is simply to ensure Aussies are no worse off than our contemporaries overseas. In the counter-factual of no QE, the Aussie dollar would be trading with an 8-handle, smashing exporters and import-competing businesses, and […] Read More
GS-USTs: Refunding, thought on short term rates. Upward IOER adjustment? Treasury’s February refunding announcement was broadly consistent with our expectations in that it left nominal auction sizes unchanged, continued with previously announced gradual TIPS auction increases, and suggested that a new SOFR FRN remains under consideration but is not imminent. As noted previously, we remain of the view that current auction sizes are sufficient to fund a range of fiscal packages. The main area of […] Read More
Since the RBA’s announcement that QE would be extended the AU 10-year bond yield is up 8-9bps – but the spread to the US is barely changed. While QE may cap a rise in yields the current pace of purchases will not stop the rise if the macro backdrop/risk sentiment continues to improve. Our bias is that the RBA does not shift its focus to the November 2024 bond but continues to target the April […] Read More
The Times – How Bank of England dropped clues that tightening may be next big idea Philip Aldrick, Economics EditorFriday February 05 2021, 12.01am, The Times https://www.thetimes.co.uk/article/how-bank-of-england-dropped-clues-that-tightening-may-be-next-big-idea-rhqndq9zt At first glance, nothing happened at this month’s Bank of England rate-setting meeting. On closer inspection, though, it may have been one of the most important monetary policy committee events in years. The big issue was not the base rate, which remained at 0.1 per cent or […] Read More
GS piece just out.. EUR Long end yields to rise further Despite near term setbacks to Europe vaccine rolloout, GS continue to f/c a strong cyclical recovery this yr. As a result , they expect a continues rise in l/end yields. GS Estimates 30y core rates have around 30bp of upside to be consistent with the growth pricing in other european macro assets. Contingent on stronger euro growth , they think the ECB will tolerate […] Read More
In Brief: • Almost all analysts expect rates to be left unch but with outlier calls (MS, SG) for a 10bp cut • Most expect a unanimous vote although see risk of 1 or 2 dissenters voting for a cut • Market is pricing approx. zero chance of a cut this month and ~11bp by Feb 2022 • On QE, all analysts expect no change in the size of the programme • Most […] Read More
AUSSIE BONDS: RBA Shows Commitment To The Cause Aussie bonds were softer into the first RBA decision of ’21, but the RBA’s pre-announcement of A$100bn worth of bond purchases, which will run at the same rate as the current scheme from when it runs dry in mid-April, caught markets off guard owing to its timing (the size of the new scheme was in line with broader exp.). This left YM unchanged at the bell, […] Read More
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
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
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