OCBC Raises Gold Price Forecast to $5,600 as Structural Demand and Uncertainty Persist 
RBA Expected to Raise Interest Rates by 25 Basis Points in February, ANZ Forecast Says 
MAS Holds Monetary Policy Steady as Strong Growth Raises Inflation Risks 
Morgan Stanley Raises KOSPI Target to 5,200 on Strong Earnings and Reform Momentum 
BOJ Policymakers Warn Weak Yen Could Fuel Inflation Risks and Delay Rate Action 
Why Trump’s new pick for Fed chair hit gold and silver markets – for good reasons 
New York Fed President John Williams Signals Rate Hold as Economy Seen Strong in 2026 
China Holds Loan Prime Rates Steady in January as Market Expectations Align 
Bank of Canada Holds Interest Rate at 2.25% Amid Trade and Global Uncertainty 
The U.S. Federal Reserve is most likely to maintain status quo at its monetary policy meeting today as it pauses to parse more economic data but may hint it is on track for an increase in June.
The central bank is scheduled to release its policy decision at 2 p.m. Wednesday at the conclusion of its two-day meeting. Fed Chair Janet Yellen is not due to hold a press conference.
Amid this data event, we expect T-Bill net supply to turn back negative going forward, which should push GC repo lower and front-end cross-currency basis less negative.
Front-end spreads are too narrow versus their drivers at current levels; buy 3-year matched maturity swap spreads.
The bid for short-dated vol was exacerbated by dealer positioning, but at this point looks to have mostly run its course; the French election is a key risk factor.
Callable supply remains light, and despite the rally, the dVega/dRate curve is still highly asymmetric to short deliveries in a rally; stay long the bottom right.
Swap spreads: Over the past two weeks, price actions were dominated by the corporate calendar.
Since earnings season kicked off last Friday with announcements from several large domestic banks, we have seen approximately $30bn in fixed-rate USD-denominated gross supply 19 hit the market, including $22bn from financials.
Given the rapid decline in yields, a light near-term economic calendar, and heightened geopolitical uncertainty, we unwound our duration shorts and 2s/5s curve steepeners. The rally in rates was exacerbated by convexity and short covering flows. Issuance-related pressure on spreads should abate going forward. Initiate 3-year swap spread wideners. Stay long vega.
Stay in 6Mx5Y OTM USD payers versus ATMF EUR payers
Stay in $100mn notional 6Mx5Y OTM USD payer swaption (notification date 10/4/17, maturity date 10/4/22, ATMF 2.193%, strike 2.365%, premium 61.5bp) versus €93.5mn notional of 6Mx5Y ATMF EUR payer swaption (notification date 10/4/17, maturity date 10/4/22, ATMF strike 0.298%, premium 61.5bp; US Fixed Income Markets Weekly, 3/31/17). P/L since inception: -4.1 bp.
