Singapore Central Bank’s Exchange Rate Policy Explained: Why MAS Uses the S$NEER Instead of Interest Rates 
RBI Holds Repo Rate at 5.25% as Inflation Risks and Global Uncertainty Persist 
Chile Central Bank Holds Interest Rate at 4.5% as Inflation and Global Risks Persist 
BSP Sees Philippine Inflation Easing, Keeps Policy Options Open 
BOJ Minutes Signal More Rate Hikes as Inflation Risks Grow 
China Set to Hold Benchmark Lending Rates Steady for 15th Month 
Australia Inflation Cools as Core CPI Misses Forecasts, Easing RBA Rate Hike Pressure 
Goldman Sachs Names 9 Top Japanese Semiconductor and Electronics Stocks 
Citadel Warns High Treasury Yields Pose Broader Market Risks 
Japan Services Producer Prices Rise 3.2% in June, Supporting BOJ Rate Hike Expectations 
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In the recent past, markets have been so cautious on the potential impact of Fed balance sheet normalization on interest rate volatility markets.
At a high level, though in principle the return of significant mortgage risk to the private market could drive a bid for gamma, in practice we find that options hedgers are unlikely to take down much of this supply. This suggests the direct impact on vols should be limited.
While markets have priced in a rather aggressive normalization, as net T-bill issuance again turns negative into April, and with no debt ceiling resolution expected prior the fall “drop-dead” date, we expect repo to remain rich to Fed funds.
Receive in $100k/bp of a 3Mx3M GC swap versus paying in $100k/bp of a 3Mx3M OIS swap at @ a spread of -1bp (both swaps start on 6/30/17 and mature on 9/29/17).
Stay long1-year expiry A+10 2s/5s curve caps versus A-20 curve floors.
Stay long $1bn notional of 1-year single-look A+10 2s/5s CMS curve caps (observation date 3/19/18, strike 0.41%) versus $1bn notional of 1-year singlelook A-20 2s/5s CMS curve floors (observation date 3/19/18, strike 0.11%) at a premium of 4.25c. P/L since inception: -1.2bp.
