HALISTER1: Singapore’s 2-Year Swap Heads for Biggest Advance Since 2011

Singapore’s 2-Year Swap Heads for Biggest Advance Since 2011

(Bloomberg) -- SGD 2-yr interest-rate swap surges 15bps to 1.6700%, poised for steepest advance since Aug. 2011, following an unexpected easing of the central bank’s currency policy.
  • Ten-yr IRS rises 9 bps to 2.4150%
  • MAS’s decision is expected to reverse recent downtrend in swap-offer rate, according to note today from HSBC
    • Move will support HSBC’s yr-end forecast of 2.00% for 6- mo. SOR
    • Maintains 2-, 10-yr IRS flattener to target 45 bps
    • Long-end of swap curve likely to be anchored against backdrop of lower G-3 rates even as short-dated swap rates are biased higher
  • Six-month SOR, floating leg of SGD IRS, has dropped 62 bps this year and was 1.21817% yesterday; rate computed based on USD/SGD forwards and USD Libor
    • Six-mo. USD/SGD implied yield currently +28 bps, indicating a higher fixing of SOR today; both rates have a correlation of 0.92, based on monthly changes in the past five years
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Source: BFW (Bloomberg First Word)

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