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ITC F.I. Recap: Bund heaby ahead of SPGB 10yr syndicate. USTs saw better PAYing/selling flows
ITC fixed Income Morning Recap:
- USTs and Swaps in Tokyo/London: BoJ called for 2% inflation target, shift in open-ended asset purchases. USDJPY initially traded through 90 (high 90.17) only to reverse sharply to trade down to the 88.36 lows on disappointment of BoJ news. US rates rallied 2bps off the lows until London came in and Bunds set up for the raft of Govvie supply (esp 10yr SPGB, book over 17 yards) and reacted to strong ZEW. UST curve steepens in London with futures underperforming cash. There's been better PAYing from Exotics in the long-end and FM putting on steepeners. Asian RM PAYer of 10s.
- US Supply: One UST supply events this week with the Treasury selling 10y Tips for $15.0bn (Thursday). Net cash flow for this week is negative with no coupons & redemptions due to be repaid. The Fed is scheduled to purchase up to $1.5bn in the TIPS sector up to $1.75 in the 24y-30y sector, up to $3.5bn in the 8y-10y sector & up to $3.75bn in the 6y-7y sector.
- US Fed Ops: Operations continue on Tuesday, where the Fed are due to purchase $1.0-1.5bn across the TIPS curve, covering 04/17-02/42 maturity bucket.
- European Fixed Income: Bunds opened lower heading into supply. Lots of focus on the new 10yr SPGB via syndicate- Books > €17bn , book closes 10.45GMT. This is keeping Bunds pressure. Bunds did have a spike earlier as the Dax found stops to the downside- flushing out weak shorts. Various reasons for the Dax sell-off:
- German Bafin has asked 2 banks, in a simulation to split IB from rest of the bank- Boersenzeitung/Boersen
- The two banks may be DB & Landesbank Baden-Wuertemberg as their trading activities in relation to balance sheet are the biggest -Spain short selling ban due to expire end of month. Some now think this will be extended, -tive for sentiment -Hearing JPM on DBK- guiding lower -Finally, talk of Weidmann resignation- denied by the Bundesbank
- Bunds: remain heavy ahead of 10yr SPGB syndication. The deal should keep Bunds pressured into pricing. Also, lots of deal pricing to go through later today, which, once the SPGB 10yr is out the way, could then give Bunds a bid into pricing. Deals include Hera 15yr, Citi 5yr, EDF PNC7, 12, 13s, AIB 3.5y, Intesa San 2.5y, BayernLabo 10y, DG hypo 7y CB
- Euribor & OTC: 3-Month Euribor fixed unchanged at 0.209%, in line with expectations. The momentum for higher fixes slowed, with 4 increases (Commerz, BTM, Caixa, LBP +1bp) vs. 4 decreases (BSCH, BoI, Unicredit, BCEE -1bp), compared to the previous day's ratio of 10 vs 8, while the spread of highest to lowest fixings used for the fixing calculations was unchanged at 4bps.
6-Month Euribor fixed unchanged at 0.353%, in line with expectations. The momentum for higher fixes slowed, with 4 increases (Commerz, MPS, JPM, Caixa +1bp) vs. 2 decreases (SG, AIB -1bp) compared to the previous day's ratio of 12 vs 7, while the spread of highest to lowest fixings used for the fixing calculations was unchanged at 5bps.
- GILTS: At 10:30GMT, the UK will reopen the 9y 4.0% 03/22 Gilt for £1.75bn (equivalent to 17k Gilt futures).
View All Market Commentary
- USTs and Swaps in Tokyo/London: BoJ called for 2% inflation target, shift in open-ended asset purchases. USDJPY initially traded through 90 (high 90.17) only to reverse sharply to trade down to the 88.36 lows on disappointment of BoJ news. US rates rallied 2bps off the lows until London came in and Bunds set up for the raft of Govvie supply (esp 10yr SPGB, book over 17 yards) and reacted to strong ZEW. UST curve steepens in London with futures underperforming cash. There's been better PAYing from Exotics in the long-end and FM putting on steepeners. Asian RM PAYer of 10s.
- US Supply: One UST supply events this week with the Treasury selling 10y Tips for $15.0bn (Thursday). Net cash flow for this week is negative with no coupons & redemptions due to be repaid. The Fed is scheduled to purchase up to $1.5bn in the TIPS sector up to $1.75 in the 24y-30y sector, up to $3.5bn in the 8y-10y sector & up to $3.75bn in the 6y-7y sector.
- US Fed Ops: Operations continue on Tuesday, where the Fed are due to purchase $1.0-1.5bn across the TIPS curve, covering 04/17-02/42 maturity bucket.
- European Fixed Income: Bunds opened lower heading into supply. Lots of focus on the new 10yr SPGB via syndicate- Books > €17bn , book closes 10.45GMT. This is keeping Bunds pressure. Bunds did have a spike earlier as the Dax found stops to the downside- flushing out weak shorts. Various reasons for the Dax sell-off:
- German Bafin has asked 2 banks, in a simulation to split IB from rest of the bank- Boersenzeitung/Boersen
- The two banks may be DB & Landesbank Baden-Wuertemberg as their trading activities in relation to balance sheet are the biggest -Spain short selling ban due to expire end of month. Some now think this will be extended, -tive for sentiment -Hearing JPM on DBK- guiding lower -Finally, talk of Weidmann resignation- denied by the Bundesbank
- Bunds: remain heavy ahead of 10yr SPGB syndication. The deal should keep Bunds pressured into pricing. Also, lots of deal pricing to go through later today, which, once the SPGB 10yr is out the way, could then give Bunds a bid into pricing. Deals include Hera 15yr, Citi 5yr, EDF PNC7, 12, 13s, AIB 3.5y, Intesa San 2.5y, BayernLabo 10y, DG hypo 7y CB
- Euribor & OTC: 3-Month Euribor fixed unchanged at 0.209%, in line with expectations. The momentum for higher fixes slowed, with 4 increases (Commerz, BTM, Caixa, LBP +1bp) vs. 4 decreases (BSCH, BoI, Unicredit, BCEE -1bp), compared to the previous day's ratio of 10 vs 8, while the spread of highest to lowest fixings used for the fixing calculations was unchanged at 4bps.
6-Month Euribor fixed unchanged at 0.353%, in line with expectations. The momentum for higher fixes slowed, with 4 increases (Commerz, MPS, JPM, Caixa +1bp) vs. 2 decreases (SG, AIB -1bp) compared to the previous day's ratio of 12 vs 7, while the spread of highest to lowest fixings used for the fixing calculations was unchanged at 5bps.
- GILTS: At 10:30GMT, the UK will reopen the 9y 4.0% 03/22 Gilt for £1.75bn (equivalent to 17k Gilt futures).
View All Market Commentary
*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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