UST Steepeners Crowded, Data Impact on Rates Is Waning: BofAML
Source: BFW (Bloomberg First Word)
To de-activate this alert, click here
UUID: 7947283
(Bloomberg) -- Impact of key macroeconomic data on USD rates has decreased meaningfully over last two months, BofAML strategists including Shyam Rajan write in a client note.
Alert: HALISTER1- Declining sensitivity to data makes it hard to be long USD rate vol, despite attractive valuations; current 1m10Y implies a market move of about 4.3bps/day, lowest level in four months
- Consistent flattening seen last week suggests steepeners were too crowded post-Fed
- Recent low usage of Fed’s overnight reverse repo facility reflects higher level of tri-party repo, recent declines in money fund balances, limited early month GSE usage, increased availability of money fund supply
- March FOMC, dovish Yellen supports core rates views (long real rates, curve steepeners); recent bounce in breakevens may increase confidence in TIPS
Source: BFW (Bloomberg First Word)
To de-activate this alert, click here
UUID: 7947283