BONDS: Fed done, BOE next
May-05 09:17
- Core fixed income is off of its highs this morning but remains above pre-Fed levels. TY1 futures for example were trading around 118-10 going into the decision and hit a high of 119-09+ overnight but now trade around 118-26+ at writing - not far off a 50% retracement of the move higher.
- The UST curve has bull flattened since yesterday's close (reversing some of yesterday's steepening) while Bund and gilt cash curves had caught up with these moves by steepening.
- Today the focus will be on the Bank of England. A 25bp hike is unanimously expected by analysts in the 22 previews that we read through, with markets fully pricing 25bp with around a 20% probability of a 50bp hike. The focus will be on the vote split (which could easily be a 3 way split), the forward guidance (will the time contingency of further moderate hikes be "in the coming months"?) and how far below 2% will the inflation forecasts be at market rates in 2/3 years time? There is also expected to be some further commentary on gilt sales. We wouldn't expect an announcement on the timing/pace at this meeting, but we wouldn't rule it out. For the full MNI BOE Preview click here.
- ECB's Lane is due to speak at 11:30BST / 6:30ET on the EZ economic outlook. After recent comments from other policymarkers discussing the prospects of a July hike, it will be interesting to see if he talks up the prospects today, too.
- Continued digestion of the Fed meeting alongside weekly US claims and nonfarm productivity data will be watched today, ahead of tomorrow's US employment report.
- TY1 futures are down -0-10+ today at 118-26+ with 10y UST yields up 1.7bp at 2.954% and 2y yields up 3.0bp at 2.675%.
- Bund futures are down -0.11 today at 153.07 with 10y Bund yields up 1.8bp at 0.987% and Schatz yields down -1.1bp at 0.253%.
- Gilt futures are up 0.22 today at 118.05 with 10y yields down -1.2bp at 1.953% and 2y yields down -2.6bp at 1.601%.
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EURIBOR: Latest Fix
Apr-05 09:12
- EUR001W -0.5780 -0.0110
- EUR001M -0.5480 0.0030
- EUR003M -0.4670 -0.0200
- EUR006M -0.3750 -0.0170
- EUR012M -0.0930 -0.0100
GILT AUCTION RESULTS: 0.375% Oct-26 Gilt
Apr-05 09:04
| 0.375% Oct-26 Gilt | Previous | |
| Amount | GBP3.25bln | GBP3.00bln |
| Avg yield | 1.518% | 0.988% |
| Bid-to-cover | 2.34x | 2.37x |
| Tail | 0.5bp | 0.3bp |
| Avg price | 95.001 | 97.146 |
| Pre-auction mid | 94.993 | 97.082 |
| Previous date | 11-Jan-22 |
OPTIONS: Expiries for Apr05 NY cut 1000ET (Source DTCC)
Apr-05 09:04
- EUR/USD: $1.0800(E1.0bln), $1.0915-25(E500mln), $1.1050-65(E671mln), $1.1095-10(E1.6bln)
- USD/JPY: Y122.00($656mln)
- GBP/USD: $1.3335-40(Gbp619mln)
- EUR/GBP: Gbp0.8390-00(E661mln), Gbp0.8460(E793mln)
- AUD/USD: $0.7300(A$1.6bln), $0.7500(A$1.1bln)
- USD/CAD: C$1.2510-25($599mln), C$1.2570-80($916mln)
