OPTIONS: Expiries for Jan09 NY cut 1000ET (Source DTCC)
- EUR/USD: $1.1500(E5.3bln), $1.1600(E1.0bln), $1.1750(E652mln), $1.1785(E984mln), $1.1800(E2.3bln)
- USD/JPY: Y158.00($773mln)
- GBP/USD: $1.3350(Gbp512mln)
- AUD/USD: $0.6680-90(A$804mln)
- USD/CAD: C$1.3800($764mln), C$1.3835($514mln), C$1.3880($671mln), C$1.3900($548mln)
- USD/CNY: Cny7.0250($600mln)
Want to read more?
Find more articles and bullets on these widgets:
Historical bullets
UK FISCAL: Reeves: Extra drug costs from US-UK deal low first couple of years
Reeves on UK-US deal on drug pricing which is reported to cost an extra GBP3bln/year: "That was part of the agreement in the Spending Review that... would be absorbed. The costs are actually quite low in the first couple of years... But obviously at future spending obviously, everything in the next spending review will be set out in the next spending review.
FOREX: FX Exchange traded Roll pace (updated).
This has been running faster as Market Participants favoured to start rolling early ahead of Today's FOMC. Expiry is Monday 15th.
- EUR: 50% (above pace).
- GBP: 50% (above pace).
- JPY: 51% (above pace).
- CHF: 60% (above pace).
- CAD: 34% (below pace).
- AUD: 45% (above pace).
- NZD: 40% (above pace).
- SEK: 69% (above pace).
- NOK: 54% (above pace).
GILTS: 2s5s10s Fly Nears Early April Highs
The hawkish repricing derived from moves on the EUR strip has led to the belly selling off on the 2-/5-/10-Year gilt butterfly.
- Markets give greater consideration to the timing of the end of the BoE’s easing cycle, as well as any spillover from a potential hiking cycle at the ECB.
- Underperformance of the belly of the fly is further underpinned by the market continuing to price another ~50bp of BoE rate cuts and ongoing skew away from long end issuance by the DMO.
- 5s have cheapened by nearly 10bp on the structure month-to-date, with the next upside level of note located less than 2bp away at April’s closing high (-30.73bp).
- BMO note that “yields are still much more expensive on the fly than at the end of past rate cut cycles”, suggesting that 5s could cheapen by at least another 30bp on the structure as “the rate cycle reaches its trough”.
Fig. 1: UK 2-/5-/10-Year Butterfly (bp)
Source: MNI - Market News/Bloomberg Finance L.P.
