UK DMO UPDATE: Consultation Agenda Highlights
Mar-26 15:37
- 2 syndications planned: A new/existing long in May 2025 and a new/existing linker in June 2025.
- In addition to the first three weeks of April (already scheduled) the DMO plans:
- 5 further short auctions: 4.375% Mar-28 gilt (twice), 4.375% Mar-30 (up to twice more plus 9 April), 4.00% Oct-31 gilt (at least once).
- 4 further medium auctions: 4.50% Mar-35 (plus 15 April), 4.375% Jan-40 gilt (plus 3 April), 0.875% Jul-33 Green gilt (once). There is no guidance as to the third gilt - we would assume either the 4.50% Mar-35 or 4.375% Jan-40 gilt are options here. We favour the former despite the Green reopening.
- 2 further long auctions: 4.75% Oct-43 gilt (once), 4.00% Oct-63 gilt (once) (plus the already mentioned 4.375% Jul-54 gilt on 8 April).
- No guidance on the programmatic tenders - other than seeking views.
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OPTIONS: Expiries for Feb25 NY cut 1000ET (Source DTCC)
Feb-24 15:26
- EUR/USD: $1.0390-00(E1.2bln), $1.0450-55(E560mln)
- USD/JPY: Y149.00($751mln), Y149.75-80($790mln)
- USD/CNY: Cny7.3500($1.1bln)
EGBS: Supported By Post US Open Equity Weakness
Feb-24 15:11
Core FI has been supported by the latest round of equity weakness, with Bund futures gaining ~30 ticks since the US cash open to move back to 132.30. Today’s session high of 132.50 remains untested for now.
- 10-year peripheral spreads to Bunds unsurprisingly widen, with the BTP/Bund spread now back at 109bps (+0.5bps on the session).
- SPGBs underperform peers slightly (+1bp today at 63bps), with today’s 15-year syndication mandate weighing at the margin. We expect a transaction tomorrow and pencil in a wide E5-10bln range. Meanwhile, headlines noting that the government will propose writing off E83bln of regional debt were not market moving, having been part of an agreement signed by the government in 2023.
BONDS: MNI Europe Pi: Flat/Short Into Quarterly Rolls
Feb-24 15:06
We've just published our latest update of European bond futures positioning (PDF):
- Going into the quarterly roll (March to June), structural positioning across European futures contracts is flat/short.
- First notice for Gilts is Feb 27, with the roll well underway as of early Monday afternoon; for Eurex it's Mar 6.
- Last week's trade saw short-setting and long-reduction, with a sharp non-roll related drop in Eurex OI Friday.
