BONDS: MONTH END EXTENSIONS
Mar-16 10:38
MONTH END EXTENSION (Quarter End): Early projections.
MS Bonds:
- EU Govies: +0.08yr (average).
They see most extensions for Ireland, France, Germany.
- US Tsys: +0.07yr (small/average).
- UK Govies: +0.02yr (tiny).
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BONDS: UK Short End Underperforming Ahead Of US CPI
Feb-14 10:29
European curve flattening continues in early Tuesday trade, with the US cash curve mostly outperforming ahead of the Jan US CPI report.
- BoE hike pricing firmed on UK employment data showing the strongest wage growth rate on record outside the pandemic period. A 25bp hike in March is fully priced with another 25bp beyond that, pushing 2Y UK yields up by 5+bp.
- EGB periphery spreads have tightened, with BTPs holding up well despite large auction sizes this morning.
- The main event of course is the US inflation report at 0830ET/1330UK, with core % M/M seen +0.4%: our full preview is here. The Tsy curve is bull steepening in early trade, with modest belly outperformance.
- Whatever the CPI result, we get plenty of Fed commentary afterwards, including Barkin, Logan, Harker, and Williams. In Europe we hear from ECB's Makhlouf.
Latest levels:
- Mar US 10Y Tsy futures (TY) up 4/32 at 112-29 (L: 112-26.5 / H: 113-01.5)
- Mar Bund futures (RX) up 25 ticks at 136.09 (L: 135.99 / H: 136.56)
- Mar Gilt futures (G) down 6 ticks at 103.72 (L: 103.69 / H: 104.28)
- Italy / German 10-Yr spread 0.6bps tighter at 179.8bps
ITALY AUCTION RESULTS: 3/7/15-year BTPs
Feb-14 10:15
| 3.50% Jan-26 BTP | 3.85% Dec-29 BTP | 3.25% Mar-38 BTP | |
| ISIN | IT0005514473 | IT0005519787 | IT0005496770 |
| Amount | E3.5bln | E3.5bln | E1.5bln |
| Previous | E3.5bln | E3.5bln | E1bln |
| Avg yield | 3.37% | 3.80% | 4.28% |
| Previous | 3.26% | 3.77% | 4.82% |
| Bid-to-cover | 1.50x | 1.37x | 1.55x |
| Previous | 1.52x | 1.41x | 1.58x |
| Avg Price | 100.44 | 100.50 | 89.12 |
| Low Price | |||
| Pre-auction mid | 100.381 | 100.442 | 88.991 |
| Prev avg price | 100.75 | 100.67 | 83.65 |
| Prev low price | |||
| Prev mid-price | 100.696 | 100.582 | 83.525 |
| Previous date | 12-Jan-23 | 12-Jan-23 | 13-Oct-22 |
GILT AUCTION RESULTS: 3.25% Jan-33 Gilt
Feb-14 10:06
| 3.25% Jan-33 Gilt | Previous | |
| Amount | GBP3.00bln | GBP3.00bln |
| Avg yield | 3.527% | 3.697% |
| Bid-to-cover | 2.36x | 2.77x |
| Tail | 1.1bp | 0.3bp |
| Avg price | 97.684 | 96.271 |
| Low price | 97.596 | 96.250 |
| Pre-auction mid | 97.643 | |
| Previous date | 10-Jan-23 |
