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.

Historical bullets

BOE: Over half of the APF sales for the 1.25% Jul-27 gilt

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.

JPY: JPMorgan See Scope for Further JPY Short Unwind

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.

BOE: BOE APF SALES: Detailed results

Mar-11 14:50
Short Gilts Bids received BOE sells WAAP Prev bids Prev sales
1.25% Jul-27 GBP553.7m GBP446.8m 91.385 GBP938.7m GBP501.5m
4.25% Dec-27 GBP354.6m GBP0.0m GBP121.7m GBP45.6m
0.125% Jan-28 GBP409.5m GBP0.0m GBP811.3m GBP124.6m
1.625% Oct-28 GBP355.6m GBP132.3m 90.582 GBP177.8m GBP41.4m
6.00% Dec-28 GBP259.9m GBP138.3m 109.032 GBP102.3m GBP60.5m
0.50% Jan-29 GBP21.3m GBP0.0m GBP42.2m GBP0.0m
0.875% Oct-29 GBP34.2m GBP21.4m GBP85.1m GBP0.0m GBP0.0m
0.375% Oct-30 GBP128.0m GBP20.0m 79.916 GBP0.0m GBP0.0m
4.75% Dec-30 GBP106.5m GBP41.2m 105.247 GBP110.9m GBP26.4m
Total GBP2,223.3m GBP800.0m GBP2,194.0m GBP773.5m