Nomura’s robot whisperer Charlie McElligott with the note:
- More wafts of VaR-napalm eminating from Macro HF pods with fresh Rates calamity overnight, as RBA inaction on the enforcement on its yield curve targeting mechanism saw 2Y yields spike and blow-out above 0.50% vs the target at 0.10% (deceased), calling into question the very existence of YCT into next week’s RBA meeting (where trades have added 75bps of hikes over the next 12m in just 3 days), and adding more fuel to the “hawkish global CB pivot” fire
- This continues to be a disaster with trapped / bad positioning from clients, and Dealers largely unable to provide liquidity in light of event-risk (i.e. ECB) and VaR constraints, further exacerbating the stop-outs in both USD and EUR short upper left and steepeners seen seen recently
Source: Bloomberg
