US TSY OPTIONS: Put buyer
Apr-27 08:18
TYM2 118.5p, bought for '29 in 6k
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STIR FUTURES: Big downward moves
Mar-28 08:12
Big moves this morning. Moves lower in crude helping broader demand being cited as one of the reasons (but given how much the market has been focused on inflation rather than growth this seems a rather convenient explanation). Possibly the moves being more driven by positioning and momentum, with moves in JGBs also helping.
- Eurodollar futures down up to 15.5 ticks of the day with the biggest moves in Whites / Reds. Markets now pricing in 45bp for the May meeting (around an 80% probability of a 50bp hike) with 131bp priced by July (3 meetings) and 220bp priced by year-end.
- SONIA futures down up to 16 ticks in the Reds, but smaller moves in Whites with the market still pricing around 34bp for May (around 1/3 chance of 50bp) with 91bp priced by August (3 meetings) and 147bp priced by year-end (6 meetings - almost the equivalent of an average of 25bp per meeting).
- Euribor futures down up to 12 ticks, again the moves most pronounced in the Reds. 25bp fully priced for both September and December now, with a further 50bp priced for Q1-23.
USD: USDJPY test 124.00
Mar-28 08:02
- Yen continues to get crushed across the board this morning.
- Despite the BOJ report of Bond buying, the 10yr Japanese yield still trend at highest levels since 2016.
- USDJPY now eye 124.00.
- Above the latter opens to 124.63 High Aug 13 2015
GREECE: Request to complete IMF payments approved by ESM / EFSF
Mar-28 07:42
- The ESM and EFSF have given permission to Greece to make a final early repyament of its IMF loans and an early repayment to the Greek Lending Facility (GLF) - the latter representing the bilateral loans Greece received during the soverign crisis.
- The payment of E1.86bln to the IMF will mean that Greece has finished repaying its IMF borrowings entirely.
- A payment of E2.65bln that was originally due as part of the GLF in 2023 will also be repaid early. At the end of 2021, the GLF accounted for around 14% of Greece's E350bln debt (so around E50bln in total, down from the E52.9bln originally borrowed).
- These early repayments had been anticipated in Greece's funding plan for 2022. No further repayments are expected in 2022 at present. The ESM / EFSF's permission has to be sought for any early payments that aren't made in proportion to the creditor breakdown.
- GGB spreads are largely unchanged this morning, given that this was expected.
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