BONDS: Euribor moving lower is the highlight of the session so far
Apr-29 09:35
- The most notable moves in core fixed income this morning have been in the Euribor strip. There has been downward pressure since 7:45BST when French HICP data came out 3 tenths higher than expected. The moves lower for Euribor have continued despite the pan-Eurozone and Italian HICP prints coming in in line with expectations and the strip is up to 9.0 ticks lower, with the Jun-23 contract seeing the biggest move. Eurodollar and SONIA strips have moved a little lower in sympathy, but both are outperforming the Euribor strip.
- Euribor futures have dragged Schatz yields higher, and we have also seen 2-year UST yields move higher this morning.
- Bund futures started to move lower around 9:30BST/4:30ET - there was little data released at that time (in what has been a very busy data session), so it seems as though the moves lower in Euribor are pulling the whole German curve lower.
- In the rest of the session we still have US PCE, personal income / spending, the MNI Chicago Business Barometer and the final print of Michigan confidence to be released.
- TY1 futures are up 0-1 today at 119-12+ with 10y UST yields up 3.5bp at 2.860% and 2y yields up 4.9bp at 2.668%.
- Bund futures are down -0.01 today at 154.14 with 10y Bund yields up 0.6bp at 0.904% and Schatz yields up 3.8bp at 0.232%.
- Gilt futures are up 0.12 today at 118.97 with 10y yields down -1.5bp at 1.860% and 2y yields up 0.1bp at 1.536%.
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EUR: Broader base buying
Mar-30 13:16
- Small pressure on the Aussie against the EUR and USD.
- Likely a function of the EUR, pushing through session high versus CAD, AUD, NOK, USD, GBP, CNH.
- EURUSD is through 1.1150 50-day EMA, and further momentum, will have market participants looking at 1.1200 next.
- Note that there is 1.26bn at 1.1150 of option expiry
- Bund is back below 157.00
GREECE T-BILL AUCTION RESULTS: 26-week GTBs
Mar-30 13:16
| Type | 26-week GTB |
| Maturity | Sep 30, 2022 |
| Amount | E625mln |
| Target | E625mln |
| Previous | E625mln |
| Avg yield | -0.20% |
| Previous | -0.40% |
| Bid-to-cover | 1.69x |
| Previous | 1.82x |
| Previous date | Feb 23, 2022 |
ITALY AUCTION RESULTS: 5/10-year BTPs
Mar-30 13:16
| 1.10% Apr-27 BTP | 0.95% Jun-32 BTP | |
| ISIN | IT0005484552 | IT0005466013 |
| Amount | E3bln | E3.5bln |
| Previous | E4bln | E3bln |
| Avg yield | 1.46% | 2.14% |
| Previous | 1.07% | 1.81% |
| Bid-to-cover | 1.38x | 1.31x |
| Previous | 1.37x | 1.37x |
| Price | 98.28 | 89.26 |
| Previous | 100.15 | 92.020 |
| Pre-auction mid | 98.256 | 89.193 |
| Previous | 100.200 | 91.964 |
| Previous date | 25-Feb-22 | 25-Feb-22 |
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