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MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
US SWAPTIONS
Implied swaption vol. has edged back from cycle highs ahead of the impending FOMC meeting after both the 3-month/1-year and 3-month/10-year measures surged to the highest levels witnessed since the GFC in the wake of the well-documented tumult in the banking sector.
- Questions surrounding the health of banks has resulted in elevated uncertainty surrounding the immediate future of the Fed hiking cycle, although recent policymaker rhetoric & source reports pointing to U.S. support for the regional banking space has taken the edge off of things, just about.
- The OIS strip is currently pricing in ~20bp of tightening for the impending FOMC decision, a little over 20bp shy of levels seen before the meltdown of SVB (and just over 10bp off the recent lows). Meanwhile, terminal pricing sits around 4.90% after breaching 5.70% pre-SVB, with ~65bp of cuts currently priced in by year end vs. existing terminal rate expectations. Assuming the widely expected 25bp rate hike is delivered on Wednesday focus will quickly move to the guidance deployed by Powell & co. (see our full preview of the event here)
Fig. 1: 3-Month/1-Year and 3-Month/10-Year Swaption Implied Vol.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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