HALISTER1: Citigroup Commercial Mortgage Trust 2016-C2 - Presale Report

Citigroup Commercial Mortgage Trust 2016-C2 - Presale Report

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

People
Mary Potthoff (Dbrs, Inc.)
Matthew Reid (Dbrs, Inc.)
Kevin Mammoser (DBRS Inc)

Topics
Fixed Income Research
Reports
Weather
Credit Analysis Research
Credit Research

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UUID: 7947283

HALISTER1: GBP Rate Vols May Converge With EUR on BOE Lower Bound: Analysis

GBP Rate Vols May Converge With EUR on BOE Lower Bound: Analysis

(Bloomberg) -- GBP rates volatility may extend decline toward EUR equivalents after the BOE signaled a floor for the Bank Rate, causing the distribution of market rates to concentrate into a smaller range, Bloomberg strategist Tanvir Sandhu writes.
  • The central bank said Thursday that should data come in as expected, a majority of policy makers expect “a further cut in bank rate to its effective lower bound”; it added that the lower bound is “close to, but a little above, zero”
  • GBP short-tail swaption gamma underperformed beyond typical event-risk unwind following these signals from the bank, and still has room to compress toward EUR counterparts; see chart here of spread between GBP and EUR 3m2y normal vols
  • However, greater compression may be seen further out the vol grid in long-tail gamma and medium-term vega, with low delivered vols weighing on long positions
  • GBP vs EUR 5y5y normal vol spread is 12bp/annual and has been fading from post-Brexit high of 21bp/annual; see chart here
  • See chart here on GBP vs EUR 3m10y normal vol spread, now at 12bp/annual
  • OIS forwards currently pricing 91% probability of a 15bp BOE rate cut to 0.10% by Dec.
  • GBP ATM vols may decline as rates move closer to zero due to the asymmetrical distribution ahead and lower delivered vols as seen in Japan prior to introduction of negative rates policy in Jan.; 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: FOMC’s Dec. Mtg ‘Still Most Likely’ Time for Next Hike: BofAML

FOMC’s Dec. Mtg ‘Still Most Likely’ Time for Next Hike: BofAML

(Bloomberg) -- “The Fed is in a very cautious mood” and Dec. remains the most likely time for a rate hike given recent choppy data and financial market turmoil, BofAML’s head of global economics research, Ethan Harris, said in phone interview Fri.
  • “December has been the most likely month for them to move, and still is”
  • Jobs number Fri. canceled out disappointing GDP data
    • Weakness in GDP in 1H reflected temporary effect of firms cutting back on very high inventory building
  • “The call on the Fed is about ‘checking all the boxes’”; “If growth remains on track, the pickup in inflation sticks and there is no big shock to markets, then the Fed waits to be sure and hikes”
  • “September is not completely off the table. It’s possible. But September has always been a relatively low probability,” given mkt volatility
    • “The fact that markets have shrugged off Brexit and there’s been no spillover into the U.S. makes us feel a little more comfortable that the Fed would think about hiking in September,” relative to BofAML’s forecast in June
    • “We’re more comfortable than less comfortable about the outlook and see some chance of a move in September. But, really, December feels about right to us”
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

People
Ethan Harris (Bank of America Corp)

Topics
BGOV Finance

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UUID: 7947283

(2) *BRISTOL FALLS 22% AFTER OPDIVO FAILS IN FIRST-LINE NSCLC STUDY

*BRISTOL FALLS 22% AFTER OPDIVO FAILS IN FIRST-LINE NSCLC STUDY

Alerts: HALISTER, HALISTER1
Source: BN (Bloomberg News)

Tickers
BMY US (Bristol-Myers Squibb Co)
4528 JP (Ono Pharmaceutical Co Ltd)

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UUID: 7947283