EURIBOR OPTIONS: Call spread buyer

Mar-20 10:49

ERU4 96.75/97.12cs 1x2, bought for 2.75 in 5k.

Historical bullets

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.