HALISTER1: GBP Rates Volatility Curve Inversion Flips as Gilts Stabilize

GBP Rates Volatility Curve Inversion Flips as Gilts Stabilize

(Bloomberg) -- Term structure of 10y-tenor GBP swaption volatility unwinds recent inversion as gilts stabilize following inflation risk premium induced sell-off, Bloomberg strategist Tanvir Sandhu writes.
  • GBP 1y-3m 10y vol spread at 1.6bp/annual vs -1.1bp/annual earlier; post Brexit low of ~-7bp/annual; 1y-2m still remains inverted at -2.7bp/annual; see chart here
  • GBP gamma has underperformed today with 3m2y -0.23bp/day at 2.47bp/day and 3m10y -0.21bp/day at 4.58bp/day
  • Follows earlier strong demand at 10Y auction and supportive BOE buyback results
  • GBP OIS forwards currently pricing 26% probability of a 10bp BOE rate cut by Dec. vs 17% 3 days earlier, assuming 3.9bps Sonia-base rate corridor; small chance of a rate increase toward the end of next year now priced out
  • NOTE: Rally in GBP RPI swaps on increased risks of currency pass-through to realized inflation may have over-extended further out the curve, given likely diminished impact on the long-end, see more here
  • NOTE: Tanvir Sandhu is an interest-rate and derivatives strategist who writes for Bloomberg. The observations he makes are his own and are not intended as investment advice.
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

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UUID: 7947283

HALISTER1: J.G. Wentworth XXXVII, Series 2016-1 - DBRS Presale Report

J.G. Wentworth XXXVII, Series 2016-1 - DBRS Presale Report

Alert: HALISTER1
Source: DBR (Dominion Bond Rating Service)

People
Charles Weilamann (DBRS Inc)
Lain Gutierrez (DBRS Inc)
Maxim Berger (DBRS Inc)

Topics
Fixed Income Research
Credit Analysis Research
Credit Research
Investment Research

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UUID: 7947283

HALISTER1: Brazil Backers of 50bps Cut See No Risk for BCB Credibility

Brazil Backers of 50bps Cut See No Risk for BCB Credibility

(Bloomberg) -- If the central bank cuts its key rate by 25bps or 50bps, the most likely outcomes, it is unlikely to damage BCB credibility, analysts say.
  • Most recent retail and services activity data pointed to a deeper and longer than previously expected recession, Carlos Kawall, economist at Banco Safra, who forecasts a 50bps cut, says in a phone interview
    • Inflation outlook has improved; next BCB quarterly report may show CPI even closer to target than in prior edition
    • All points cited by BCB as conditions for easing have advanced; spending cap bill passed in House’s first round may also have a fast track in Senate
    • Recent cut to fuel prices also helps to damp inflation; Petrobras new system of pricing signals potential for further cuts
    • “This central bank has no problem of credibility”; whether it cuts 25bps or 50bps, the market will react well, despite the possibility of some differences on the rates curve move depending on the size of cut, Kawall says
  • NOTE: Swap market prices in 34.38bps cut, showing a market marginally more split between 25bps-50bps cut compared to Tuesday, when figures where closer to 25bps
  • “There is a very low risk of the market reacting badly to the BCB decision,” Fernando Honorato, economist at Bradesco, second biggest Brazil’s private bank
    • Eventual 50bps cut would be in line with BCB communication, which has been transparent
    • Brazil economy is still in a process of deleveraging, with very high unemployment and families, companies cutting their debts, Honorato says
    • Should an economic rebound take more time, BCB cuts may be even deeper than currently expected
  • NOTE: BCB Cut of Either 25bps or 50bps Unlikely to Move BRL: Analysis
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

People
Carlos Kawall Leal Ferreira (Banco J Safra)
Fernando Honorato (Banco Bradesco SA)

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HALISTER: Yahoo, Verizon Said Not to Have Any Talks on Price Cut: CNBC

Yahoo, Verizon Said Not to Have Any Talks on Price Cut: CNBC

(Bloomberg) -- Yahoo, Verizon haven’t had any conversations about a price cut, CNBC’s David Faber said, without saying where he got information.
  • YHOO up as much as 2.6%, most intraday since Sept. 27; nears 50-DMA ($42.88)
  • NOTE: Yday, Yahoo 3Q Adj. EPS Beats; Says ‘Busy Preparing for Integration’
    • YAHOO 3Q STREET WRAP: Verizon Commentary on Pending Deal Is Key
  • NOTE: Yday, Verizon Is Said to Be Antsy Over Lack of Clarity in Yahoo Breach
  • NOTE: Oct. 13, Verizon Counsel Says Breach Could Trigger MAC: Reuters
Alert: HALISTER
Source: BFW (Bloomberg First Word)

Tickers
VZ US (Verizon Communications Inc)
YHOO US (Yahoo! Inc)
BABA US (Alibaba Group Holding Ltd)

People
David Faber (CNBC Inc)

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UUID: 7947283