BONDS: J.P.Morgan European Client Survey Shows Duration Cut Across Most Markets
Dec-05 09:13
The latest J.P.Morgan European client survey reveals that “multi-currency European real money investors decreased their long duration exposure in EGBs (from +0.23 to +0.20 years). This level is broadly in line with the average observed since the beginning of ‘24 (+0.21 years).”
- “Single-currency European real money investors decreased their long duration exposure in EGBs (from +0.45 to +0.34 years). This level is now broadly in line with the average observed since early ‘23 (+0.34 years).”
- “Investors maintained their overweight exposure to the European periphery (moving from 24% to 23% net long). This level remains above the average observed since the beginning of ‘23 (average of 6% net long).”
- “European multi-currency decreased their duration exposure in USD (from +0.08 years to neutral).”
- “Single-currency investors in GBP decreased their long duration exposure (from +0.40 to +0.35 years). This level is broadly in line with the average observed since the beginning of ‘23 (+0.32 years).”
- Note that all duration metrics are compared to their respective benchmarks.
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OPTIONS: Election Impact Clear to See as USD/MXN Vols Surge to Record Levels
Nov-05 09:11
- Overnight FX options contracts now capture the immediate outcome of the election, and the impact is clear to see - USD vols are well bid, with the currencies seen as most exposed printing a considerable risk premia.
- As a result, USD/MXN overnight implied has cleared 100 points - that's an all-time high for the contract (other notable prints: 95 points mid-COVID, 96 points on Trump's '16 election and ~100 points in the '08 GFC). This implies a ~4% swing in USD/MXN on the results, and an implied range of approximately 19.35 - 21.05.
- It's not just USD vols that are being marked higher - haven currency vols including CHF and JPY are bid, meaning hedging markets are capturing potential fallout outside of the greenback. EUR/CHF and GBP/JPY overnight vols have added 6 points and 10 points respectively.
BONDS: Off Lows In Low Conviction Trade
Nov-05 09:11
Bonds recover from session lows. TY and Bund futures failed to test yesterday’s lows during the early London selling, while gilt bears failed to get anywhere near testing key support identified in earlier bullets.
- Moves remain low conviction at this stage, ahead of this week’s tier 1 event risks.
- Headline flow remains light, with background factors (also identified in earlier bullets) seemingly driving things early today.
- Parallel shifts on German and UK curves, yields ~2bp higher.
- U.S. curve a little steeper, yields flat to 2bp higher.
- EGBs are flat to 1bp wider vs. Bunds.
MNI EXCLUSIVE: MNI: China Stock Stabilisation Fund Talk Premature-Advisors
Nov-05 08:42
Chinese advisors discuss the prospects for a stock market stabilisation fund.- On MNI Policy MainWire now, for more details please contact sales@marketnews.com
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Dec-05 15:48
