BUNDS: German 10yr Yield is nearing 2.50%
May-07 12:28
- Bund is still probing Monday's high of 131.24 (circa 2.5% in Yield), all very gradual, but Volumes have picked up a little, Schatz was bought in 10k, Bobl 5k.
- While extreme moves should still be limited ahead of the Fed, further upside traction opens to 131.71, followed by Friday's gap, up to 131.90 and the big one at 132.03.
- In Yield terms, next support comes at 2.43%, which equates to 132.01, close to that 132.03 level.
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US SWAPTIONS: Goldman See Tailwinds For Vol.
Apr-07 12:21
Late on Friday Goldman Sachs noted that the extent of last week’s vol. “richening was in line with behaviour around prior tariff announcements, featuring higher vol. levels across the surface and a flattening in both the tail and expiry curves”.
- They suggest that “with increased recession fears opening up the distribution around the front-end more substantially, this appears consistent with the tendency for shorter tenor vol. to respond positively in rate rallies”.
- Going forwards they think “vol. levels can stay elevated as long as growth uncertainty lingers, with gamma richening the typical pattern observed around prior growth slowdown or recessionary episodes. And with implied-to-delivered ratios generally on the lower side of the past two years’ range, there remains scope for vol. premium to build”.
STIR: Repo Reference Rates
Apr-07 12:07
- Secured Overnight Financing Rate (SOFR): 4.35% (-0.04), volume: $2.587T
- Broad General Collateral Rate (BGCR): 4.33% (-0.04), volume: $1.005T
- Tri-Party General Collateral Rate (TCR): 4.33% (-0.03), volume: $968B
- (rate, volume levels reflect prior session)
SPAIN AUCTION PREVIEW: On offer this week
Apr-07 12:01
Tesoro Publico has announced it will be looking to sell a combined E5.5-6.5bln of the following Bono/Oblis at its auction this Thursday, April 10:
- the 3.50% May-29 Bono (ISIN: ES0000012M51)
- the 2.55% Oct-32 Obli (ISIN: ES0000012K61)
- the 3.15% Apr-35 Obli (ISIN: ES0000012O67)
Tesoro Publico has additionally announced it will be looking to sell a combined E5.5-6.5bln of the following letras at its auction tomorrow, April 8:
- the 6-month Oct 10, 2025 letras
- the new 12-month Apr 10, 2026 letras
