US TSYS: Round Numbers In Play

Apr-10 14:58

Some round numbers at play with 10s stabilising around 4.50% and 2s failing to challenge 5.00% so far.

Little to add in terms of recent news flow, outside of headlines surrounding the BoC decision.
Gold and equity markets have been more willing to move off post-CPI extremes than the broader USD & Tsys.

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Mar-11 14:53

No real impact on gilt futures from those results - the move lower continues.
The bid-to-cover was broadly in line the previous short-dated operation.
Note that once again over half of the sales today have been for the shortest-dated available gilt - the 1.25% Jul-27 gilt.

Mar-11 14:53

On JPY options and JPY positioning, JP Morgan write that their options-derived positioning metrics point to elevated positioning in the cross-JPY complex and could be another channel of positioning vulnerability ahead.
They ultimately believe any BoJ-inspired JPY appreciation may be short-lived, but the meeting should mark a clear inflection for gradual policy normalization, and they scope for positioning to amplify any short-term or tactical JPY outperformance were the BoJ to come out more hawkish than expected.
JPM write that momentum-followers have material scope to unwind JPY shorts, even if only to less-aggressively-short levels. The options space points to an aggressive build-up of USD/JPY calls over the last month, however their options-implied proxies of USD/JPY net length are not as stretched as futures.
They see topside flow in February suggesting a potentially-vulnerable stock of tactical USD/JPY length in the market that, along with futures positions, could conceivably come under pressure in a hawkish BoJ outturn.

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