EUROZONE ISSUANCE: EGB Supply
Nov-17 06:51
The EU, Germany, Latvia, Greece, Spain and France have all come to the market this week. We pencil in gross nominal issuance of E31.0bln, up from E16.3bln last week.
For more on this week and next week's supply see the PDF here:
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EGB OPTIONS: Bund downside put spread
Oct-18 06:42
RXX3 127/126ps 1x2, bought the 1 for 6 in 2.5k
USD: The Dollar is in the red post Cash Govie open.
Oct-18 06:40
- Despite the higher Yields and risk tilted to the downside (Estoxx is only 5 points down), the Dollar trades in the red across G10, although still in the green overall in the past 5 days, aside from the CHF that is up 0.45% for that period.
- AUD is the best early performer, up 0.39%, and has now gained 1.7% in the past four session, after it found support at 0.6286, printed on the 3rd, 4th, and 13th October, also the lowest level print since November, and now becoming a base.
- Most market participants will continue to watch USDJPY that trades near, but failed to re test the 150.00 handle of late.
BUNDS: Commerzbank: Repo/ASW Capitulation!
Oct-18 06:38
Commerzbank note that “the repo cheapening is broadening beyond GC as Bund specials are hitting multi-year lows vs. €STR and the specialness distribution has fully normalised, underscoring the overriding 'collateral abundance'.”
- “Swap-spreads have also taken a major leg tighter over recent sessions with Schatz-spreads vs. €STR slicing through the key 40bp mark - which is all the more relevant considering the simultaneous increase in implied vols.”
- “With Bund yields back above the levels from before the Hamas attack and short-dated swap spreads tighter, the safety premium is overcompensated by the gravitational forces from cheap repo levels.”
- “We see more arguments for further tightening, have taken profit on our tactical shorts in Schatz vs. Bunds spreads and stay neutral on 30y spreads.”
- “In futures, the Buxl net basis has receded from the highs but switch risk remains in play.”
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