EGBS: Bund Futures Off Session Lows, Supported By Crude and Equity Pullback
Sep-19 09:40
Bund futures have moved away from session lows over the last two hours, now -16 ticks at 128.35, seemingly supported by a pullback in European equity and brent crude futures. The September 4 low of 128.25 was pierced during this morning’s light selloff, but losses are still considered corrective for now.
- German paper lightly outperforms Gilts following this morning’s UK fiscal data. The 10-year Gilt/Bund spread is 0.5bps wider at 195.5bps.
- German yields are 0.5-1.5bps higher across the curve, with the belly lightly underperforming. That said, it’s long-end ASWs which are under the most pressure this morning.
- 10-year EGB spreads to Bunds are biased slightly tighter, with equities still up on the session despite the latest pullback.
- The Netherlands has set the coupon for next week’s DDA launch of the new 30-year DSL at 3.50%, while Italy has announced it will sell a new BTP Valore in October.
- This morning’s data saw German PPI come in below consensus (-0.5% M/M vs -0.1%) and France’s expected employment indicator reach a fresh post-covid low. Both are dovish developments on net, but the ECB will pay much more attention to next week’s September flash PMIs.
- Outgoing Bank of Portugal Governor Centeno struck an unsurprisingly dovish tone. We don’t pay much attention to his comments, with his replacement Pereira having already spoken this week.
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EGBS: Bunds Stronger On Session, But Off Highs Post Auction
Aug-20 09:39
Bund futures moved off session highs following a weak 20/30-year auction, now +19 ticks at 129.26 (session highs were 129.35). A technical bear threat is still present for now, with a move above the 50-day EMA at 129.89 required to signal a reversal.
- German yields are 1-1.5bps lower, with the curve bull flattening.
- Alongside the Bund auction, Finland is launching a new 7-year RFGB via syndication. The ESM has also sent an RFP for a transaction, likely next week.
- 10-year EGB spreads to Bunds are biased slightly wider, with OATs underperforming. The BTP/Bund spread has inched back above 80bps.
- ECB President Lagarde suggested global uncertainty has been “alleviated, but certainly not eliminated”. Overall, she did little to push back on current market pricing (1.5bps of cuts through September, 12bps through December).
- ECB final headline and core July HICP confirmed flash estimates on a rounded basis, while services saw a small upward revision to 3.2% Y/Y.
GERMAN AUCTION RESULTS: 2.50% Aug-46 / 2.50% Aug-54 Bunds
Aug-20 09:35
| 2.50% Aug-46 Bund | 2.50% Aug-54 Bund | |
| ISIN | DE0001102341 | DE000BU2D004 |
| Total sold | E1bln | E1.5bln |
| Allotted | E747mln | E1.15bln |
| Previous | E988mln | E1.408bln |
| Avg yield | 3.18% | 3.28% |
| Previous | 2.92% | 2.99% |
| Bid-to-offer | 2.33x | 0.79x |
| Previous | 7.27x | 2.03x |
| Bid-to-cover | 3.13x | 1.03x |
| Previous | 7.36x | 2.17x |
| Avg Price | 89.65 | 85.61 |
| Low Price | 89.63 | 85.55 |
| Pre-auction mid | 89.532 | 85.560 |
| Prev avg price | 93.38 | 90.55 |
| Prev low price | 93.37 | 90.53 |
| Prev mid-price | 93.278 | 90.435 |
| Previous date | 18-Jun-25 | 18-Jun-25 |
OPTIONS: Expiries for Aug20 NY cut 1000ET (Source DTCC)
Aug-20 09:34
- EUR/USD: $1.1550(E915mln), $1.1600(E854mln), $1.1660-75(E1.4bln)
- USD/JPY: Y147.25-35($982mln), Y148.00-10($1.5bln)
- USD/CAD: C$1.3800($1.1bln), C$1.3835-55($872mln)
- USD/CNY: Cny7.1050($500mln)
