OPTIONS: Expiries for Apr02 NY cut 1000ET (Source DTCC)
- EUR/USD: $1.0790-00(E1.9bln)
- USD/JPY: Y149.80-95($577mln)
- USD/CAD: C$1.3780($1.1bln), C$1.4400-15($924mln)
- USD/CNY: Cny7.3500($1.3bln)
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STIR: Under 60bp Of BoE Cuts Priced Through Dec
Modest hawkish adjustments in GBP STIRs as Bunds sell off following the latest speculation surrounding increased German defence spending.
- BoE-dated OIS show ~57.5bp of cuts through year-end vs. 56.5bp late Friday.
- 80% odds of a cut priced through the May MPC, with a 25bp cut fully discounted through the June meeting (we continue to look for a cut in May at this stage).
- SONIA futures flat to -1.5.
- Most of the weekend’s UK headline flow was centred on geopolitical matters, as opposed to domestic issues.
- A BBG piece note that while although BoE Governor Bailey believes that a renewed bout of inflation is nothing to worry about, former policymakers say the central bank may need to pause its cutting cycle. This echoes our policy team’s interview with former MPC member Andrew Sentance, published last week.
- Final PMI data (today & Wednesday) and the BoE DMP survey (Thursday) headline this week’s UK data calendar.
- BoE-speak will come from Bailey, Pill, Mann, Greene & Taylor.
- We will provide greater detail on the UK points of interest in our Gilt Week Ahead document later today.
BoE Meeting | SONIA BoE-Dated OIS (%) | Difference vs. Current Effective SONIA Rate (bp) |
Mar-25 | 4.454 | -0.1 |
May-25 | 4.259 | -19.6 |
Jun-25 | 4.193 | -26.1 |
Aug-25 | 4.052 | -40.2 |
Sep-25 | 4.002 | -45.3 |
Nov-25 | 3.908 | -54.7 |
Dec-25 | 3.881 | -57.4 |
BONDS: EUREX ROLL PACE
EUREX ROLL PACE (as of Friday): Close to half the Volume in Bund is spread related in early trade.
- Buxl: 25%.
- Bund: 30%.
- Bobl: 28%.
- Schatz: 26%.
- BTP: 25%.
- BTS: 21%.
- OAT: 26%.
EURJPY TECHS: Bears Remain In The Driver’s Seat
- RES 4: 161.35 61.8% retracement of the Dec 30 - Feb 10 bear leg
- RES 3: 161.19 High Feb 13
- RES 2: 159.65 50-day EMA and key short-term resistance
- RES 1: 157.97 20-day EMA
- PRICE: 156.53 @ 07:34 GMT Mar 3
- SUP 1: 154.80 Low Feb 28
- SUP 2: 154.42 Low Aug 5 ‘24 and key medium-term support
- SUP 3: 153.87 Low Dec 14 ‘23
- SUP 4: 152.72 1.00 proj of the Jan 24 - Feb 10 - 13 price swing
A bearish theme in EURJPY remains present and Friday’s print below support at 155.61, the Feb 10 low, reinforces this theme. A resumption of the bear leg and a clear breach of the support would expose the key medium-term handle at 154.42, the Aug 5 ‘24 low. Clearance of this level would highlight an important technical break. Initial firm resistance to watch is 157.97, the 20-day EMA. Key resistance is 159.65, the 50-day EMA.
