HALISTER1: GBP Pricing 30%-35% Chance of Brexit, Risk Premium to Rise: JPM

GBP Pricing 30%-35% Chance of Brexit, Risk Premium to Rise: JPM

(Bloomberg) -- Expect FX market to build a renewed premium for ‘Brexit’ ahead of the June 23 vote, JPMorgan analysts including Paul Meggyesi write in client note.
  • Added a short cash position in GBP/JPY last Friday; also has short exposure through a long-standing cable put spread
  • Calculate GBP is pricing a 30%-35% likelihood of Brexit; based on assumption, pound would fall to 1.32 vs dollar on a Brexit and rebound to 1.51 following a remain vote; for EUR/GBP, comparable assumptions are 0.85 and 0.755
  • Expect the BOE can ease rates up to 50bp by the end-2016 if the U.K. votes to leave the EU; broadly equal to a 20bp rally in 2Y swaps
  • In the event of a ‘remain’ vote, expect yields to rise; rates probably would only remove any easing already priced, unlikely to move to price any BOE rate rises over the next year given the the uncertain global backdrop
  • NOTE: Enter tactical longs in 1Yx1Y SONIA; enter level adjusted 10s30s gilt curve steepeners as the long-end looks rich, curve too flat, JPM said on June 3
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

People
Paul Meggyesi (JPMorgan Chase & Co)

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UUID: 7947283

HALISTER: Stifel Fixed-Income Co-Head Heinzerling Said to Depart Firm (1)

Stifel Fixed-Income Co-Head Heinzerling Said to Depart Firm (1)

Alert: HALISTER
Source: BN (Bloomberg News)

Tickers
C US (Citigroup Inc)
9769Z US (Sterne Agee & Leach Inc)

People
William Heinzerling (Stifel Financial Corp)
Eric Needleman (Sterne Agee Group Inc)
Ronald Kruszewski (Stifel Financial Corp)

Topics
Who's News - People
Management Changes
Financial Firm Departures

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UUID: 7947283

HALISTER: Ex-Barclays Traders Don’t Have Special Honesty Code, SFO Says

Ex-Barclays Traders Don’t Have Special Honesty Code, SFO Says

Alert: HALISTER
Source: BN (Bloomberg News)

Tickers
BARC LN (Barclays PLC)

People
Harry Harrison (Barclays PLC)
Jay Merchant (UBS Securities LLC)
Ryan Reich (Wcg Master Fund Ltd)
Stylianos Contogoulas (Merrill Lynch International)

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UUID: 7947283

HALISTER1: PREVIEW: UST WI 3Y Yield Above 2 Previous Auction Stops

PREVIEW: UST WI 3Y Yield Above 2 Previous Auction Stops

(Bloomberg) -- Current 3Y yield lower by 1.6bp at 0.916% before 1pm ET auction, 18th straight at $24b; WI 3Y yield about 0.935%, above last two 3Y auction stops.
  • Most recent 3Y auction on May 10 drew 0.875%, 1.6bp below WI yield at bidding deadline, biggest stop through by a 3Y sale since 2009 according to Stone & McCarthy; 28.3% primary dealer award was 2nd lowest since 2009
  • Current 3Y yield closed at YTD low 0.816% on April 7 amid losses for U.S. stocks and oil and JPY appreciation; it has since traded as high as 1.095% on May 25 amid rising market- implied odds of Fed rate increase this month
  • 20 of past 23 3Y auctions stopped through, according to Stone & McCarthy; year-ago auction stopped even with WI yield
  • 6-auction averages:
    • Bid-to-cover: 2.86 (low 2.71, high 3.14)
    • Dealer award: 35.2% (low 27.8%, high 44.7%)
    • Direct award: 12.3% (low 9.1%, high 18.6%)
    • Indirect award: 52.6% (low 41.5%, high 62.8%)
  • Maturing 3Y has $32b outstanding
  • Primary dealers’ position in 2Y-3Y sector in week ended May 25 was net short $1.89b vs $5.03b avg net short over past year
Alert: HALISTER1
Source: BFW (Bloomberg First Word)

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UUID: 7947283