STIR: Lagarde Doesn't Dwell On Defence Spending And Yield Rises In Risk Assess
Mar-06 14:05
Marginally dovish movements in ECB-dated OIS since the press conference kicked off, with President Lagarde not dwelling much on increased defence spending prospects or the recent increase in bond yields in the risk assessment.
- ECB-dated OIS back to pricing 14bps of easing through the April gathering (vs 12bps as the press conference started).
- Year-end implied cuts back at 44bps (vs 42bps before the presser started, but 45bps before the rate decision itself).
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STIR: Effective Fed Funds Rate
Feb-04 14:05
- FRBNY EFFR for prior session:
- Daily Effective Fed Funds Rate: 4.33% (+0.00), volume: $94B
- Daily Overnight Bank Funding Rate: 4.33% (+0.00), volume: $264B
- Earlier Repo Reference Rates
- Secured Overnight Financing Rate (SOFR): 4.35% (-0.03), volume: $2.413T
- Broad General Collateral Rate (BGCR): 4.33% (-0.01), volume: $913B
- Tri-Party General Collateral Rate (TCR): 4.33% (-0.01), volume: $890B
- (rate, volume levels reflect prior session)
FOREX: CADJPY Recovery Bolstered by Hold of Trendline Support
Feb-04 14:01
- Following in the footsteps of Mexico’s administration, Canadian PM Justin Trudeau announced an agreement with the US, circumventing the immediate implementation of 25% tariffs.
- CADJPY has moderately outperformed following the sharp CAD recovery from Monday’s lows, extending the bounce to 2.93% in recent trade, and up 0.68% during today’s session.
- The recovery has been bolstered by the cross holding trendline support on Monday, drawn from the 2020 lows. The trendline intersects close to the psychological 105.00 handle, which has proved pivotal on a closing basis over the last 18 months.
- An extension of strength today has narrowed the gap to both 20- and 50-day EMAs, currently intersecting at 108.13 and 108.52 respectively.
- ING believe markets are not fully pricing out the tariff threat just yet. Primarily because of the short delay, but also because headlines have provided a higher degree of uncertainty and unpredictability that harms high-beta currencies. This is due to direct protectionism exposures and due to risk sentiment implications.
- However, they highlight a cross like AUD/CAD should trade sharply lower given Canada has dodged tariffs and China has not, but it is only 0.5% lower on the day. That signals markets are pricing in a good chance that the US and China will also strike a deal and delay tariffs.
BONDS: Core Bonds are seeing broader selling
Feb-04 13:55
- Some selling in Govies across both sides of the Pond, and while the Volume in Tnotes is fairly subdued, the German Bund sees a notable session in terms of Volumes.
- Initial support in Bund is seen at 132.34, Monday's opening gap.
