CANADA: 5Y Auction Ahead
Jul-03 15:59
- Canada sells $5B of the 3.5% Sep-2029 at 1200ET, the first auction since the 2Y on Jun 27 drew its lowest bid-to-cover since 2009.
- The previous 5Y auction saw a bid-to-cover of 2.35x and a five-auction average of 2.40x.
- Can-US 5Y yield differentials currently sit +2bp higher on the day at circa -88bps.
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GERMAN DATA: Weekly Index Suggests Continued Economic Expansion In Mid-Q2
Jun-03 15:50
The Bundesbank weekly activity index for the week of May 27 - June 2 came in at -0.1 (vs 0.0 prior, unrevised) and implies a quarterly GDP growth rate for Germany of +0.2% in the 13 weeks up to June 2 (on a rolling, 13 week/13 week basis).
- After initially printing at low levels recently, the index has been consistently upwardly revised in subsequent releases, and now suggests activity expanded in mid-Q2 - a markedly brighter picture than the sharp contraction indicated about a month ago.
- The WAI fluctuates around its long-term mean of 0. Positive values indicate above-average growth in real economic activity, while negative values signal a below average increase or a decline in economic output.
- The index takes into account data on electricity consumption, truck mileage, flight activity, foot traffic, air pollution, credit card payments, as well as German google searches for "unemployment", "short-time work", and "state support".
- The index is volatile and individual weekly readings should not be taken too seriously in isolation - though given the recent strength in incoming German economic activity data (see our German Macro Signal publication out last week), we are watching closely for confirmation of stronger growth going forward.
MNI, Bundesbank
STIR: Large Sep'24 SOFR Call Fly: Cheap Rate Cut Play
Jun-03 15:46
- +50,000 SFRU4 94.93/95.06/95.18 call flys, 0.88-1.0, underlying futures trade 94.85. Though the options expire on September 13, the upside call structure is a relatively cheap rate cut play targets the September 18 FOMC rate announcement.
- Late year rate cut projections continue to gain following this morning's data: June 2024 at -1.3% w/ cumulative rate cut -.3bp at 5.328%, July'24 at -14% w/ cumulative at -3.8bp at 5.293%, Sep'24 cumulative -17.2bp (-14.7bp pre-data), Nov'24 cumulative -25.3bp (-21.7bp pre-data), Dec'24 -40.6bp (-35.5bp pre-data).
SWITZERLAND DATA: May CPI Preview - Housing & Imported Inflation Focus Again (2/2)
Jun-03 15:45
- Housing inflation (driven by the rental price index) is expected to increase on the back of December's reference rate hike at some point this spring. As the rental price index appears to only be updated in the second month of a respective quarter, May now seems like the only plausible month this rate hike can come into effect on inflation considering historical lags.
- For reference, the rental price index increased 0.3% M/M last May. For the yearly rate to increase, this month's uptick would have to be firmer than that - which appears plausible.
- CHF depreciation stalled in April, so assuming a similar 2-month lag it would have little impact on the June CPI data; while June is not a month in which the rental price inflation increase could intensify as per the quarterly index update.
- Therefore, Jordan's comments that inflation could potentially come in firmer in Q2 than expected by the SNB seem to be consistent with a slight uptick in headline in May. Some underlying slowdown in inflation might throw this off, however.
MNI, SECO
