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ITC F.I. Recap: Good REC 5yr US. Bunds bid- off highs on SPGBs. Talk someone took chunk of SPGBs
ITC- 3Y LTRO payback and the reduction in Excess Liquidity- key focus tomorrow
Attached:
- Reuters Poll
- Euribor/EONIA Market Commentary
- Scenario Analysis- lees than 100bn, more than 160bn
- What the banks are thinking?
- Recent ECB rhetoric- recap of speakers
ITC Fixed Income Morning Recap:
- USTs and Swaps in Tokyo/London: Big buying of 5s in Tokyo trade. Felt like a big REC of 5yr as they rallied 2bps quickly and spds got hit. Other flows included some hedging paying flows in intermediates vs REC of longer end vs EM ccy (5y5y, 10y20y flows, but not large). Bunds rallied in London (on Danish house prices, German PMI services miss), dragging USTs hgiher. Weak Equities underpin Fixed Income
- Asian Equities: SHCOMP led Asian equities lower overnight (-2.6% on measures to curb house prices). Property stock index down nearly 2% on the day and more than 7% on the week {HSP Index GP<GO>}. Nikkei -1.4%, NZSE -1%, HSI -1.6%.
- US Month-End Extensions - Barcap Summary of February Index Duration Changes and Projected Duration Change for March 1, 2013
US Treasury +0.10
US Agcy +0.08
US MBS +0.11
US Aggr +0.10
- US Fed Ops: the Fed is scheduled to purchase $3.00-3.75bn in the 5.75-7y sector
- US Supply Announcement: the Treasury is scheduled to announce sizes for the upcoming 2y, 5y and 7y auction- expect $35bn, $35bn and $29bn
- European Fixed Income: Macro buyers of Bunds after the open. Lots of people wanting to fade the bid as we approached 143.00, stopped over 143.13. European bourses open lower with Asian Equities, which are underpinning Fixed Income. Weak Danish house prices, German PMI services miss- all contributed to Bund rally. Bunds off their highs- SPGB auctions went well. Spain 10yr just traded up at 101.70 (traded down at 101.30 ahead of the auction)- rumours starting to circulate that someone may have taken a chunk of the auction today. French auctions also went well- French results will definitely have been impacted by the very strong Spanish auction. The SVTs will have just had time to quickly re-adjust their expectations and adjust their bidding patterns accordingly
- Euribor & OTC: 3-Month Euribor fixed -0.1bp at 0.220%, below expectations. The momentum for lower fixes picked up, with 1 increases (Soc Gen +1bp) vs. 4 decreases (LHTG, BNPP, UNiCr & Nordea -1bp), compared to the previous day's ratio of 2 vs 1, while the spread of highest to lowest fixings used for the fixing calculations was unchanged at 5bp. 6-Month Euribor fixed -0.2bp at 0.354%, below expectations. The momentum for lower fixes picked up, with 1 increases ( Ceca +2bp) vs. 7 decreases (All -1bp) compared to the previous day's ratio of 4 vs 4, while the spread of highest to lowest fixings used for the fixing calculations narrowed by 1bp to 6bp.
- Eur/Gbp Swaps: Lots of deals to price today: Atlas Copco €500m 10yr, Corio €500m 8y MS+175/180, RaiffeisbkEUR500m 3yr md/hi 60, Dt Pfandbk €100m+ 3yr FRN E+20a, Commerzbank €500m 5y MS+47, Rheinland €375m 2020 MS+20a
- GBP Swaps: Network Rail in focus- £ 2027 tap UKTi+35, £ 2037 tap UKTi+35, £ 2047 tap UKTi+35
- Barcap: Summary of February Index Duration Changes and Projected Duration Change for March 1, 2013
Pan-Eur Aggr +0.04
Pan-Eur Ag Trsy -0.01
Eur Aggr +0.05
Sterling Aggr +0.07
Japan Aggr +0.05
Japan Aggy Trsy +0.04
- Citi EGBi month-End:
- Small projected change in the European Government Bond Index (EGBI): Citiexpect the EGBI to extend by only 0.02 at the end of February. Nevertheless, there are interesting changes at the country and individual curve level.
- France (+0.13) and Germany (+0.11) are in line to potentially benefit the most from month-end rebalancing flows. Issuance in all the other EGBI constituents is largely duration-neutral (apart from Finland).
- Projected changes should support 10s30s steepeners in France, 10s30s flatteners in Finland, and 5s10s steepeners in Belgium. On the Spanish curve only the 2yr sector is not in line to receive any support from projected index changes.
View All Market Commentary
Attached:
- Reuters Poll
- Euribor/EONIA Market Commentary
- Scenario Analysis- lees than 100bn, more than 160bn
- What the banks are thinking?
- Recent ECB rhetoric- recap of speakers
ITC Fixed Income Morning Recap:
- USTs and Swaps in Tokyo/London: Big buying of 5s in Tokyo trade. Felt like a big REC of 5yr as they rallied 2bps quickly and spds got hit. Other flows included some hedging paying flows in intermediates vs REC of longer end vs EM ccy (5y5y, 10y20y flows, but not large). Bunds rallied in London (on Danish house prices, German PMI services miss), dragging USTs hgiher. Weak Equities underpin Fixed Income
- Asian Equities: SHCOMP led Asian equities lower overnight (-2.6% on measures to curb house prices). Property stock index down nearly 2% on the day and more than 7% on the week {HSP Index GP<GO>}. Nikkei -1.4%, NZSE -1%, HSI -1.6%.
- US Month-End Extensions - Barcap Summary of February Index Duration Changes and Projected Duration Change for March 1, 2013
US Treasury +0.10
US Agcy +0.08
US MBS +0.11
US Aggr +0.10
- US Fed Ops: the Fed is scheduled to purchase $3.00-3.75bn in the 5.75-7y sector
- US Supply Announcement: the Treasury is scheduled to announce sizes for the upcoming 2y, 5y and 7y auction- expect $35bn, $35bn and $29bn
- European Fixed Income: Macro buyers of Bunds after the open. Lots of people wanting to fade the bid as we approached 143.00, stopped over 143.13. European bourses open lower with Asian Equities, which are underpinning Fixed Income. Weak Danish house prices, German PMI services miss- all contributed to Bund rally. Bunds off their highs- SPGB auctions went well. Spain 10yr just traded up at 101.70 (traded down at 101.30 ahead of the auction)- rumours starting to circulate that someone may have taken a chunk of the auction today. French auctions also went well- French results will definitely have been impacted by the very strong Spanish auction. The SVTs will have just had time to quickly re-adjust their expectations and adjust their bidding patterns accordingly
- Euribor & OTC: 3-Month Euribor fixed -0.1bp at 0.220%, below expectations. The momentum for lower fixes picked up, with 1 increases (Soc Gen +1bp) vs. 4 decreases (LHTG, BNPP, UNiCr & Nordea -1bp), compared to the previous day's ratio of 2 vs 1, while the spread of highest to lowest fixings used for the fixing calculations was unchanged at 5bp. 6-Month Euribor fixed -0.2bp at 0.354%, below expectations. The momentum for lower fixes picked up, with 1 increases ( Ceca +2bp) vs. 7 decreases (All -1bp) compared to the previous day's ratio of 4 vs 4, while the spread of highest to lowest fixings used for the fixing calculations narrowed by 1bp to 6bp.
- Eur/Gbp Swaps: Lots of deals to price today: Atlas Copco €500m 10yr, Corio €500m 8y MS+175/180, RaiffeisbkEUR500m 3yr md/hi 60, Dt Pfandbk €100m+ 3yr FRN E+20a, Commerzbank €500m 5y MS+47, Rheinland €375m 2020 MS+20a
- GBP Swaps: Network Rail in focus- £ 2027 tap UKTi+35, £ 2037 tap UKTi+35, £ 2047 tap UKTi+35
- Barcap: Summary of February Index Duration Changes and Projected Duration Change for March 1, 2013
Pan-Eur Aggr +0.04
Pan-Eur Ag Trsy -0.01
Eur Aggr +0.05
Sterling Aggr +0.07
Japan Aggr +0.05
Japan Aggy Trsy +0.04
- Citi EGBi month-End:
- Small projected change in the European Government Bond Index (EGBI): Citiexpect the EGBI to extend by only 0.02 at the end of February. Nevertheless, there are interesting changes at the country and individual curve level.
- France (+0.13) and Germany (+0.11) are in line to potentially benefit the most from month-end rebalancing flows. Issuance in all the other EGBI constituents is largely duration-neutral (apart from Finland).
- Projected changes should support 10s30s steepeners in France, 10s30s flatteners in Finland, and 5s10s steepeners in Belgium. On the Spanish curve only the 2yr sector is not in line to receive any support from projected index changes.
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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