HOUSE_OVERSIGHT_010612.jpg
1.64 MB
Extraction Summary
0
People
3
Organizations
3
Locations
1
Events
0
Relationships
3
Quotes
Document Information
Type:
Financial report / market strategy document
File Size:
1.64 MB
Summary
This document is page 4 of a 'Liquid Insight' financial report from Bank of America Merrill Lynch, dated September 22, 2016. It lists various financial trading recommendations and positions (FX and Rates), including closed trades for AUD/KRW and TRY/JPY, and new trades related to FRA-OIS wideners. The document bears a 'HOUSE_OVERSIGHT' Bates stamp, suggesting it was produced as part of a congressional investigation, likely related to financial records, though no specific individuals (Epstein/Maxwell) are named in this specific page's text.
Organizations (3)
| Name | Type | Context |
|---|---|---|
| Bank of America Merrill Lynch |
Logo and footer indicate source of the report
|
|
| ECB |
European Central Bank, mentioned in context of easing and rates
|
|
| House Oversight Committee |
Implied by Bates stamp 'HOUSE_OVERSIGHT_010612'
|
Timeline (1 events)
Key Quotes (3)
"Despite recent tightening, richness of bonds vs OIS, upcoming TLTRO & corporate issuance point to renewed widening"Source
HOUSE_OVERSIGHT_010612.jpg
Quote #1
"Sterling vulnerability due to the UK's large current account deficit makes being long inflation volatility attractive."Source
HOUSE_OVERSIGHT_010612.jpg
Quote #2
"Potential shocks include Brexit uncertainty, turbulence in Italy's banking sector, and political paralysis in Spain."Source
HOUSE_OVERSIGHT_010612.jpg
Quote #3
Full Extracted Text
Complete text extracted from the document (2,300 characters)
Closed at 902 (10 Mar 2016): Buy AUD/KRW, entry: 832, target: 920, stop: 859 (revised from 790)
Closed at 38.25 (18 Apr 2016): Sell TRY/JPY, entry: 43.40, target: 36.15, stop: 45.25
Closed at 8.27: Sell USD/NOK spot 8.685, target: 8.27, stop-loss: 8.60 (revised from 9.00)
Closed at 38.25 (18 Apr 2016): Sell TRY/JPY, entry: 43.40, target: 36.15, stop: 45.25
Closed at 8.27: Sell USD/NOK spot 8.685, target: 8.27, stop-loss: 8.60 (revised from 9.00)
New trades
Rates:
Mar17 FRA-OIS widener, entry: 6.25bp, target: 10bp, stop loss: 4bp (21 Sep 2016)
* Despite recent tightening, richness of bonds vs OIS, upcoming TLTRO & corporate issuance point to renewed widening
Rates:
Mar17 FRA-OIS widener, entry: 6.25bp, target: 10bp, stop loss: 4bp (21 Sep 2016)
* Despite recent tightening, richness of bonds vs OIS, upcoming TLTRO & corporate issuance point to renewed widening
Existing open trades
For a complete list of our open trade recommendations, as well as our trade recommendations closed over the last 12 months, please see: Global Rates and FX Weekly: Central banks still the only game in town 15 September 2016
For a complete list of our open trade recommendations, as well as our trade recommendations closed over the last 12 months, please see: Global Rates and FX Weekly: Central banks still the only game in town 15 September 2016
Rates:
Pay 5y5y forward 3s6s basis, entry: 11.3bp, target: 13.3bp, stop: 10.3bp (10 Aug 2016)
* Bank hedging flows on the back of sharp pickup in corp issuance suggests the widening of 3s6s basis is structural. It also hedges any aggressive ECB easing in Sep
Pay 5y5y forward 3s6s basis, entry: 11.3bp, target: 13.3bp, stop: 10.3bp (10 Aug 2016)
* Bank hedging flows on the back of sharp pickup in corp issuance suggests the widening of 3s6s basis is structural. It also hedges any aggressive ECB easing in Sep
Buy 6m30y ATMF+25bp/+50bp/+75 bp payer ladders for a net premium of €950k on €100m notional (or 3.3 bp) (20 Jul 2016)
*30y rates are at risk from the ECB tomorrow, especially if tweaks to the capital key are flagged already
*30y rates are at risk from the ECB tomorrow, especially if tweaks to the capital key are flagged already
Buy 3-year 3.5% ZC RPI inflation caps, entry: 26.0c; current 37.5c (21 Oct 2015)
*Sterling vulnerability due to the UK's large current account deficit makes being long inflation volatility attractive. Pairing this trade with a long-standing recommendation to be short 30-year UK breakevens is an attractive way to finance it.
*Sterling vulnerability due to the UK's large current account deficit makes being long inflation volatility attractive. Pairing this trade with a long-standing recommendation to be short 30-year UK breakevens is an attractive way to finance it.
Closed at 0 (22 Jul 2016): Buy 167 Aug RXU6 call and buy 162 put, cost 118 cents (16 Jun 2016)
Closed at 55bp (12 Jul 2016): OATei 2018/2027 flattener; entry: 78.5bp, target: 40bp; stop-loss: 100bp (11 Mar 2016)
FX:
Short EURUSD 6m 1.0740/1.1500 risk reversal, cost: 0 (off 1.1077 spot)(6 Jul 2016)
*EUR downside risks are underpriced. We think the post-referendum risk rally is overdone and could be at risk. Potential shocks include Brexit uncertainty, turbulence in Italy's banking sector, and political paralysis in Spain.
Short EURUSD 6m 1.0740/1.1500 risk reversal, cost: 0 (off 1.1077 spot)(6 Jul 2016)
*EUR downside risks are underpriced. We think the post-referendum risk rally is overdone and could be at risk. Potential shocks include Brexit uncertainty, turbulence in Italy's banking sector, and political paralysis in Spain.
Closed 1.0840 (1 Jul 2016): Buy 3m EURCHF 1.08/1.03 put spread for 0.76% Eur (7.75/8.05 ag 10.45 vols off 1.0930 spot)(1 Apr 2016)
4 Liquid Insight | 22 September 2016
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_010612
Bank of America Merrill Lynch
HOUSE_OVERSIGHT_010612
Discussion 0
No comments yet
Be the first to share your thoughts on this epstein document