HYBRIDS: Japan Tobacco Hybrid
* IPT: 500m WNG 30NC5.5 4.625% area * FV 4.125% area * The very well rated perps trade with Sub_Sen ...
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US TSY OPTIONS: TYU5 106.25 Puts Sold
TYU5 106.25 puts 3K given at 0-01.
FOREX: FX OPTION EXPIRY
Of note:
USDJPY 2.06bn at 148.00/148.25.
EURUSD 1.47bn at 1.1650 (tue).
USDCAD 1.7bn at 1.3770/1.3775 (wed).
AUDUSD 1.01bn at 0.6550 (wed).
EURUSD 2.2bn at 1.1600/1.1610 (thu).
- EURUSD: 1.1650 (208mln), 1.1700 (266mln), 1.1750 (613mln).
- USDJPY: 148.00 (1.02bn), 148.25 (1.04bn).
- GBPUSD: 1.3400 (355mln), 1.3495 (450mln).
- AUDUSD: 0.6550 (555mln).
GILTS: /STIR: Goldman Hold Long SONIA Vs Euribor, Eye On QT & Reduced Gilt Risk
Goldman Sachs note that “despite the previous week’s inflationary speed bump, the UK curve outperformed last week, as soggy activity data insulated gilts from bearish price action in other markets. This muted spillover points to the continuing calming in UK-specific risk premium that had been a feature of UK macro assets in recent years. As inflation risk subsides, the half-life of bouts of gilt volatility seems to be shrinking”.
- They go on to suggest that gilts should “get additional support as the BoE slows the pace of QT from October onwards. Although the pace of active sales picks up in our forecasts, we expect the BoE to skew away from long-end sales. As a result, we maintain our constructive GBP vs EUR rates and continue to recommend long SFIZ6 vs. ERZ6”.
