EURIBOR OPTIONS: Call spread buyer
Mar-20 10:49
ERU4 96.75/97.12cs 1x2, bought for 2.75 in 5k.
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DUTCH T-BILL AUCTION RESULTS: 2.5/5.5-month DTC
Feb-19 10:42
| Type | 2.5-month DTC | 5.5-month DTC |
| Maturity | Apr 29, 2024 | Jul 30, 2024 |
| Amount | E1.04bln | E1.4bln |
| Target | E1.0-1.5bln | E1.0-2.0bln |
| Previous | E1.2bln | E1.15bln |
| Avg yield | 3.816% | 3.740% |
| Previous | 3.770% | 3.710% |
| Bid-to-cover | 2.08x | 1.3x |
| Previous | 3.07x | 1.47x |
| Previous date | Jan 15, 2024 | Feb 05, 2024 |
GILTS: Off Lows, Yields A Little Softer On Day
Feb-19 10:41
Gilt futures consolidate in a tight 29-tick range in early Monday trade.
- The contract last shows at ~97.40, essentially flat on the day, after dealing either side of late Friday levels.
- Bears do not force a test of Friday’s low in futures (97.05).
- That leaves well-defined technical parameters in play for the contract and the bearish threat intact.
- Meaningful support comes in at the Feb 13 low/bear trigger (96.81).
- Cash gilt yields are 1.0-2.5bp lower, light bull steepening seen.
- SONIA futures are +0.5 to -1.0, comfortably off early session lows.
- Late Friday comments from BoE’s Pill haven’t really moved the needle (pointing to no need to move rates for at least a few months, while noting rates would still be restrictive after a cut).
- The same holds true for the latest speculation re: the energy price cap, political matters and Rightmove house price data.
- The holiday-related closure of U.S. markets and lack of tier 1 event risk may leave many sidelined today.
- Medium-term APF sales from the BoE are due this afternoon and headline today’s limited UK docket.
- Further out, public finance data and flash PMIs are due this week, as is BoE speak from Bailey, Dhingra & Greene.
SLOVAKIA AUCTION RESULTS: Size more in line with normal but high demand continues
Feb-19 10:41
- Quick comment on that Slovakian auction. The size is much more in line with auctions we would typically see (after the large takeup of the 1.00% Oct-51 SlovGB in January and the special auction to launch the 2/4-year SlovGB issues.
- Looking at the high bid-to-covers it's clear that there is continued demand for SlovGBs.
