Halister News

(Bloomberg) -- There is a “very good” chance that RBNZ cuts cash rate to 1.50% from 2.25% currently, Jarrod Kerr and Philip Brown, senior strategists at CBA, write in emailed note received today.

• “We upgrade our weighting in kiwi rates from ‘raging bulls’ to ‘break the limits long,’” they write in note; say kiwi rates now have much more value
• CBA says risks facing New Zealand economy are heavily tilted to downside
• Recommends following trades:
  • Receive August overnight-index swaps at 1.98% to gain 48 bps
  • Receive 2y3y swap at 2.77% to gain 57 bps
  • Long New Zealand’s 2027 govt bond vs short Australia’s similar-maturity bond to gain 50 bps
• Says NZD is too high, inflation expectations are too low

Economic Release Details: {BTRR1DAY Index ECOD} --TONY JORDAN

(Bloomberg) -- March is the cruelest month for U.S. non-farm payrolls as the published data came below estimates in seven of past eight years, Bloomberg strategist Tanvir Sandhu writes.

• From 2008, actual release numbers fell short of the median in Bloomberg survey forecasts by an average of ~53k, bar chart on deviations here
• Since 2000, March NFP missed est. 67% of the time by an average of 69k
• In March 2015, the headline number was ~119k below ests, the biggest miss since 2001
• NOTE: Data to be published April 1; est. 200k vs 242k in Feb.; predictions range between 145k and 230k
• Fed rate hike in April largely off the table after FOMC marked down interest rate increase forecasts by 50bps for this yr
  • U.S. OIS curve currently assigning 7% probability of 25bps rate increase in April vs 26% on March 14, while Sept. hike probability is 75% vs 91%

• NOTE: Fed Relents But U.S. Rates Volatility Lags Europe Slide, see analysis here

• NOTE: Tanvir Sandhu is an interest-rate and derivatives strategist who writes for First Word. The observations he makes are his own and are not intended as investment advice.

(Bloomberg) -- Singapore’s auction of S$2.6b ($1.9b) in reopened 2-year govt bonds on March 29 will probably draw a “robust” bid-to-cover ratio of around 1.5-2.0, ANZ writes in report today.

• With a S$7.3b maturity on April 1, local banks will likely need to replenish those maturing funds into the 2-year note: ANZ; expects a cut-off yield of 1.02% at the auction, based on current yield curve
• Given its view on SGD, SGS yields, and valuations, however, ANZ doesn’t expect this bond to perform well post auction; adds 2-year notes are trading slightly rich vs swaps, citing wider swap spread than historical avg
• ANZ’s FX strategy team doesn’t expect strength in SGD to be sustained
• NOTE: Singapore’s 2-year yield slips 4 bps to 0.89% in secondary market today; SGD falls 0.4% to 1.3646 per USD

(Bloomberg) -- USD/KRW non-deliverable forwards account for 35.1% of total volume today, according to trades reported to DTCC; USD/INR second-most active at 17.5%, USD/TWD third at 15.4%.

• Notional amounts traded include:
  • Total $161m of USD/INR at 67.8075; matures June 29
• Total volume was $7.2b as of 2:31pm HKT; global total yesterday was $59.3b, with USD/BRL accounting for 27.8%

(Bloomberg) -- “RCBC offers its sincerest apologies for the involvement of its personnel in the money laundering scheme now subject of Senate Blue Ribbon and AMLC investigations,” Rizal Commercial Banking says in e-mailed statement.

• Rizal Bank, also called RCBC, to cooperate in proceedings
• RCBC also conducting its own inquiry “to identify and address any weakness in its controls and operations which may have facilitated the scheme”
• Bank to take appropriate action against any officer or staff found guilty or negligent
• NOTE: Rizal Bank Fires Branch Manager, May Suspend More in Heist Probe Link
• NOTE: Anti-Money Laundering Council or AMLC said March 22 heist action wasn’t slow Link

Economic Release Details: {PPCBON Index ECOD} --CLARISSA BATINO