GILTS: Lower Oil Supports
Jun-18 14:47
Spot inflation matters continue to dominate, with Trump’s comments re: Iran reaching out weighing on crude oil futures and supporting gilts.
- Futures were unable to retest yesterday’s high. The bullish technical theme in that contract remains intact, with bulls trying to overcome a Fibonacci retracement resistance point (93.13).
- Yields 2-4bp lower, curve flatter.
- Recent ranges in benchmark yields and major curves intact.
- Fiscal challenges point to ongoing steepening pressure, but a more activist approach to combating spikes higher in long end yields and already extended steepener positioning present risks to this idea.
- Interesting to see SONIA futures still twist flattening on the day, seemingly embedding ongoing geopolitical risk premium despite the recent headline flow, contracts last -1.5 to +4.0.
- BoE-dated OIS showing 47bp of cuts through year-end, little changed on the day, no odds of a move priced for tomorrow’s decision, 18bp cuts showing through August, 23bp through September and 39bp through November.
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OPTIONS: Expiries for May20 NY cut 1000ET (Source DTCC)
May-19 14:40
- EUR/USD: $1.1015(E1.1bln), $1.1070-75(E1.8bln), $1.1100-05(E780mln), $1.1195-00(E1.5bln), $1.1245-50(E1.2bln), $1.1300(E1.1bln)
- USD/JPY: Y145.00($795mln), Y145.50($1.0bln), Y146.00($621mln)
- USD/CAD: C$1.3900-15($807mln)
STIR: SFRZ5 Blocked
May-19 14:29
Latest block trade blocked at 10:07:20 NY/15:07:20 London:
- SFRZ5 4.0K lots blocked at 96.180, looks buyer driven.
US SWAPS: Spreads Holding Tighter
May-19 14:11
Note that swap spreads hold tighter on the day, last 0.8-2.2bp lower, with the long end under the most pressure. Moody’s downgrade of the U.S. after hours on Friday is having a mechanical impact here, cheapening bonds to swaps.
