Friday, 05 February, 2021
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
Friday, 05 February, 2021
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
Thursday, 04 February, 2021
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
Wednesday, 03 February, 2021
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
Wednesday, 03 February, 2021
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
Tuesday, 02 February, 2021
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
Friday, 29 January, 2021
WBC’s Bill Evans – “We have raised our forecasts for AUD and Bond Rates” https://westpaciq.westpac.com.au/wibiqauthoring/_uploads/file/Australia/2021/2021-01/er202101294BullForecastsforAUD.pdf For those that haven’t seen……. Archr LLP is Authorised and regulated by the Financial Conduct Authority (FCA reference 617163). Archr LLP is not covered by the Financial Services Compensation Scheme (FSCS). Archr is registered in England and Wales No. OC371018. Registered office 115B Drysdale Street, Hoxton, London, United Kingdom, N1 6ND This message may contain […] Read More
Friday, 29 January, 2021
(BN) World’s Most Vaccinated Nation Struggles With Virus Variants (1) ——————————————————————————-This message may contain confidential or privileged information. If you are notthe intended recipient, please advise us immediately and delete this message.The unauthorised use, disclosure, distribution and/or copying of this e-mail orany information it contains is prohibited.This information is not, and should not be construed as, a recommendation,solicitation or offer to buy or sell any securities or related financialproducts. This information does not constitute investment advice, does notconstitute a personal recommendation and has been prepared without regard tothe individual financial circumstances, needs or objectives of persons whoreceive it. World’s Most Vaccinated Nation Struggles With Virus Variants (1)2021-01-29 08:56:44.569 GMT By Gwen Ackerman (Bloomberg) — With more than 30% of its populationvaccinated, Israel leads the fight against Covid-19. Yet theemergence of more infectious variants is overwhelming itshospitals, showing the long road ahead for the rest of theworld. After inoculating 82% of Israelisaged 60 and more, goinginto a nearly month-long lockdown and shutting down […] Read More
Friday, 29 January, 2021
Month End Index Extensions for end of January (Update): Gilts: +0.06 US Tsy: +0.08 EGBs: +0.13 (includes the French syndicated deal, no other estimations) After 3 consecutive months of duration contraction, UK sees some duration extension mostly driven by the syndication of the new 25y benchmark for £6.50bn US extension is pretty typical for a non-refunding month and compares with a 0.07y extension last January Good duration extension in Germany (+0.15y) but second biggest drop […] Read More
Thursday, 28 January, 2021
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
