US TSYS: Bear Steeper On Thin Volumes, Multi-Pronged Session Ahead
Mar-26 10:50
- Treasuries are within session ranges to sit modestly bear steeper on thin volumes, underperforming Gilts (softer than expected UK CPI) and less so EGBs (pullback in equities).
- It’s ahead of a docket covering various angles including durable goods data (for Feb, i.e. prior to March mfg surveys rolling over), the CBO’s X date projection, Fedspeak and 5Y supply.
- Cash yields are 1.1-2.7bp higher, with 3s lagging and 20s leading increases.
- 2s10s sees an additional mechanical adjustment higher with a new 2Y taking benchmark after yesterday’s auction, leaving 2s10s at 32.6bps (+2.4bp) for highs since Mar 14.
- The front-end to belly outperforms despite supply ahead, with both $28bn 2Y FRN and $70bn 5Y auctions. Yesterday’s 2Y came in almost on the screws but with a step higher in bid-to-cover.
- TYM5 at 110-19 (-05+) is back within earlier ranges after a brief lift to 110-23, on particularly low volumes of just over 200k.
- Data: MBA mortgage data (0700ET) and Durable goods orders/shipments Feb prelim (0830ET)
- Fedspeak: Kashkari hosts Fed Listens event (1000ET), Musalem on economy/mon pol (1310ET, text + Q&A) – see STIR bullet
- Other: CBO publishes its X date projection (1000ET)
- Coupon issuance: US Tsy $28B 2Y FRN - 91282CMJ70 (1130ET), US $70B 5Y Note auction - 91282CMU2 (1300ET)
- Bill issuance: US Tsy $60B 17W bill auction (1130ET)
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GILTS: /MONTH-END EXTENSIONS: UBS See Modest UK Index Extension At Month-End
Feb-24 10:43
UBS expect “the UK index to extend by ~0.05yr at month-end, which is slightly higher than the historical 3-year average end-Feb extension of ~0.03yr. The UK inflation-linked index is expected to contract at the end of this month.”
EU-BILL AUCTION RESULTS: 3/15-year EU-bond results
Feb-24 10:36
| 2.875% Dec-27 EU-bond | 3.375% Oct-39 EU-bond | |
| ISIN | EU000A3K4EW6 | EU000A3LZ0X9 |
| Amount | E2.392bln | E2.277bln |
| Previous synd | E5bln | E6bln |
| Avg yield | 2.329% | 3.284% |
| Previous | 2.506% | 3.227% |
| Bid-to-cover | 1.59x | 1.34x |
| Avg Price | 101.446 | 101.026 |
| Low Price | 101.440 | 101.000 |
| Pre-auction mid | 101.416 | 100.916 |
| Prev avg price | 101.101 | 101.734 |
| Previous date | 08-Oct-24 | 08-Oct-24 |
GERMAN T-BILL AUCTION RESULTS: 3/9-Month Bubills
Feb-24 10:34
| Type | 3-month Bubill | 9-month Bubill |
| Maturity | May 14, 2025 | Nov 19, 2025 |
| Allotted | E2.002bln | E1.025bln |
| Previous | E2.431bln | E1.42bln |
| Total sold | E2.5bln | E1.5bln |
| Target | E2bln | E2bln |
| Avg yield | 2.279% | 2.102% |
| Previous | 2.575% | 2.375% |
| Bid-to-cover | 2.13x | 2.31x |
| Previous | 2.44x | 4.21x |
| Bid-to-offer | 1.7x | 1.58x |
| Previous | 2.37x | 3.99x |
| Previous date | Jan 20, 2025 | Jan 20, 2025 |
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