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ITC F.I. Recap: Bunds lower after GCC ratifies the ESM.
ITC Fixed Income Morning Recap: Asia was quiet until shortly before the London open, when comments by Spanish PM Rajoy saying he was considering using the ECB bond buying program saw TY knocked lower on algo selling in light volume, after which it bounced, but then sold off following Bunds lower. We did hear of Asian RM buying of CT7s during this period. USTs in London saw some wild gyrations around the announcement by the German constitutional court on the ESM verdict but eventually weakened almost in line with Bunds as market sentiment switched to risk on.In terms of flows we heard better buying with CB buyers of 2021 issues and spread product buyers of 3s and 5s.
- US Fed Ops: At 16:00BST, the Fed are due to sell $7.0-8.0bn in the 1y8m-2y3m sector, covering 04/14-11/14 maturity bucket. The last comparable operation in the bucket saw a bid/cover come in lower the previous operation at 5.2x (vs. 6.8x, 4.85x and 5.96x previously). The sold were well distributed all across the bucket with a particular focus on the 1.25% 02/14 and 2.625% 07/14 for a size of $1.6bn and $2.3bn, respectively (representing half of the total operation).
- European Fixed Income: Bunds opened 5 ticks below yesterday's late close, but immediately weakened on the earlier Rajoy comments and we heard prop selling. It bounced slightly on short covering heading into the GCC outcome with some fluctuations around the announcement, likely due to a poorly timed story release that the EU Commission wanted the ECB to supervise all Euro area Banks. But Bunds were subsequently hit on confirmation that the ESM had been ratified, with peripherals widening before eventually finding support above the August low at 139.30. The Bobl auction was weak, with real cover of only 1.1x which further set the negative tone.
- 3-Month Euribor fixed -0.3bp at 0.255%, in line with expectations. The momentum for lower fixes slowed, with 4 increases (All +1bp) vs. 8 decreases (NordLB/BCEE -2bp, other bank -1bp), compared to the previous day's ratio of 1 vs 17, while the spread of highest to lowest fixings used for the fixing calculations unchanged at 7bps.
- Eurex Options: Post ESM ratification, paper bought 10k Oct12 Bund 138 Puts and sold 142 Calls for 11 ticks (ref 139.59)
- Speakers/Other Events: At 12:00BST, BoE's Broadbent (Middle) will speak in Durham, and at 13:30BST ECB's Weidmann (Hawk) will speak in Berlin followed at 18:00BST when ECB's Nowotny (Middle) will speak at a conference in Vienna. Finally at 20:00BST, the voting will close in the Dutch General Elections.
Euro Morning News
-German CPI higher than exp: y/y 2.1% (v 2.0% cons); m/m 0.4% (v 0.3% cons)
-German Constitutional court: rejects complaints & allows ratification against ESM/Fiscal pact under certain conditions (as exp); must ensure German liability to ESM does not exceed €190B without approval of Bundestag; Rejects complaint against ECB bond buys
-Japan PM: considering supplementary budget to maintain growth
-Japan Fin Min: Will not tolerate speculative JPY moves; will take decisive steps if needed
-Spain CPI in line with exp: y/y 2.7%; m/m 0.6%
-BoE Miles: BoE could sell off its Gilts once economy picks up, even if govt still borrowing
-EU Barroso's Bank Union Proposal: within ECB's mandate to buy bonds in 2ndary mkt; New EU bank supervisor under ECB must oversee all EZ banks; EC will publish plan for further deepening economic & monetary union later 2012; changes to EU's treaties will be necessary to achieve deeper federal integration
-ECBs Liikanen: OMT requires strict conditionality; Europe's adjustment process now at outset, may be several more years; Unfounded risk premiums not acceptable; Outlook for global economy has deteriorated
-UK Jobless Claims Chg lower than exp: -15.0k (v 0.0k cons); Employment Chg q/q 236K (v 169K cons)
-Eurozone Ind Prod higher than exp: m/m 0.6% (v 0.1% cons); y/y -2.3% (v -3.3% cons)
-3m Euribor fixes lower than exp -0.3bp (v -0.2bp exp) at 0.255%
-Italy: OK Bill auction: Sells €12B (as indicated) in 3m & 12m Bills; b/c's 3m at 2.25x (v 2.5x prev), 12m 1.65x (v 1.7x prev)
-Germany: weak auction: Sells €3.97B (v €5B max) in 5y Obls; b/c 1.4 x (2.57x prev), real b/c 1.1x; 1c o/b, 4c tail
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- US Fed Ops: At 16:00BST, the Fed are due to sell $7.0-8.0bn in the 1y8m-2y3m sector, covering 04/14-11/14 maturity bucket. The last comparable operation in the bucket saw a bid/cover come in lower the previous operation at 5.2x (vs. 6.8x, 4.85x and 5.96x previously). The sold were well distributed all across the bucket with a particular focus on the 1.25% 02/14 and 2.625% 07/14 for a size of $1.6bn and $2.3bn, respectively (representing half of the total operation).
- European Fixed Income: Bunds opened 5 ticks below yesterday's late close, but immediately weakened on the earlier Rajoy comments and we heard prop selling. It bounced slightly on short covering heading into the GCC outcome with some fluctuations around the announcement, likely due to a poorly timed story release that the EU Commission wanted the ECB to supervise all Euro area Banks. But Bunds were subsequently hit on confirmation that the ESM had been ratified, with peripherals widening before eventually finding support above the August low at 139.30. The Bobl auction was weak, with real cover of only 1.1x which further set the negative tone.
- 3-Month Euribor fixed -0.3bp at 0.255%, in line with expectations. The momentum for lower fixes slowed, with 4 increases (All +1bp) vs. 8 decreases (NordLB/BCEE -2bp, other bank -1bp), compared to the previous day's ratio of 1 vs 17, while the spread of highest to lowest fixings used for the fixing calculations unchanged at 7bps.
- Eurex Options: Post ESM ratification, paper bought 10k Oct12 Bund 138 Puts and sold 142 Calls for 11 ticks (ref 139.59)
- Speakers/Other Events: At 12:00BST, BoE's Broadbent (Middle) will speak in Durham, and at 13:30BST ECB's Weidmann (Hawk) will speak in Berlin followed at 18:00BST when ECB's Nowotny (Middle) will speak at a conference in Vienna. Finally at 20:00BST, the voting will close in the Dutch General Elections.
Euro Morning News
-German CPI higher than exp: y/y 2.1% (v 2.0% cons); m/m 0.4% (v 0.3% cons)
-German Constitutional court: rejects complaints & allows ratification against ESM/Fiscal pact under certain conditions (as exp); must ensure German liability to ESM does not exceed €190B without approval of Bundestag; Rejects complaint against ECB bond buys
-Japan PM: considering supplementary budget to maintain growth
-Japan Fin Min: Will not tolerate speculative JPY moves; will take decisive steps if needed
-Spain CPI in line with exp: y/y 2.7%; m/m 0.6%
-BoE Miles: BoE could sell off its Gilts once economy picks up, even if govt still borrowing
-EU Barroso's Bank Union Proposal: within ECB's mandate to buy bonds in 2ndary mkt; New EU bank supervisor under ECB must oversee all EZ banks; EC will publish plan for further deepening economic & monetary union later 2012; changes to EU's treaties will be necessary to achieve deeper federal integration
-ECBs Liikanen: OMT requires strict conditionality; Europe's adjustment process now at outset, may be several more years; Unfounded risk premiums not acceptable; Outlook for global economy has deteriorated
-UK Jobless Claims Chg lower than exp: -15.0k (v 0.0k cons); Employment Chg q/q 236K (v 169K cons)
-Eurozone Ind Prod higher than exp: m/m 0.6% (v 0.1% cons); y/y -2.3% (v -3.3% cons)
-3m Euribor fixes lower than exp -0.3bp (v -0.2bp exp) at 0.255%
-Italy: OK Bill auction: Sells €12B (as indicated) in 3m & 12m Bills; b/c's 3m at 2.25x (v 2.5x prev), 12m 1.65x (v 1.7x prev)
-Germany: weak auction: Sells €3.97B (v €5B max) in 5y Obls; b/c 1.4 x (2.57x prev), real b/c 1.1x; 1c o/b, 4c tail
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*Disclaimer: The information in the Market Commentaries was obtained from sources believed to be reliable, but we do not guarantee its accuracy. Neither the information nor any opinion expressed therein constitutes a solicitation of the purchase or sale of any futures or options contracts.
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