Brexit angst a factor helping drive down interest rates in Germany and Japan - BBH

Research Team at BBH, suggests that the Brexit angst may also be a factor helping drive down interest rates in Germany and Japan, where new record low bond yields are being recorded. 

Key Quotes

“Sterling is trading a little heavier but found a bid in front of $1.44.  It finished last week near $1.4520.  The spot market is not showing the full strain of Brexit fears.  One-month implied volatility is near 23.5% today.  It finished last week just above 20% and was near 16.5% two weeks ago.  Following Lehman's demise, implied one-month sterling volatility reached 30%. 

Also, the premium of sterling puts over calls equidistant from the money (25 delta) continued to increase.  Today, the premium stands near 7.8%.  At the end of last week, it was near 6.2% and the week before it was around 5.5%.”