SPAIN AUCTION PREVIEW: On offer next week
Tesoro Publico will look to sell the following next Thursday:
- 2.80% May-26 Bono (ISIN: ES0000012L29)
- 1.40% Apr-28 Obli (ISIN: ES0000012B39)
- 3.90% Jul-39 Obli (ISIN: ES0000012L60)
- 1.00% Oct-50 Obli (ISIN: ES0000012G00)
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GILTS: Winding Through The Session, Reflecting On Yesterday’s Shift
Futures remain happy to consolidate yesterday’s move lower, running flat at typing, as participants continue to digest yesterday’s meaningful, hawkish repricing on the BoE-dated OIS strip.
- Cash Gilts run 0.5-5.0bp richer, bull steepening, with the previously covered downtick in BoE terminal rate pricing, as participants assess the viability of the additional ~130bp of tightening priced into the BoE-dated OIS strip at present, helping the front end of the curve off cycle cheaps.
- Broader markets remain relatively contained thus far, with an eye on pending event risk, although the uptick in crude oil futures may have helped limit any rallies in core global FI markets (before oil moved back from best levels), along with the tepid demand witnessed at the latest Bund auction.
- The latest FOMC & ECB monetary policy decisions provide the major macro risk events over the next 24 hours or so, while U.S. PPI data is also due today.
BUNDS: Holding Cheaper After Tepid Demand At Auction
Bund futures find a bit of a base, at least for now, after a fairly shallow foray below the early morning low in the contract, which was aided by lacklustre demand at the latest 10-Year auction, leaving the contract -45 or so, ~5 ticks off session lows. The move lower also saw the contract show below yesterday’s worst levels, although the previously outlined support zone (133.00/132.97) holds greater technical significance. Cash trade sees the major benchmarks showing 3.5-4.5bp cheaper on the day at print, with the front end of the curve leading the weakness.
US TSYS: Early SOFR/Treasury Option Roundup: June SOFR Puts Ahead FOMC
- Better put volume in SOFR options overnight, nearly all in June ahead today's FOMC annc (pause expected with a hawkish tone for forward guidance), June lead quarterly and midcurve options expire Friday. Treasury options mixed but on very light volumes.
- SOFR Options:
- 28,000 OQM3 94.56 puts, 0.5 ref 95.65
- 2,000 OQM3 95.00/95.25/95.50 put flys ref 95.65
- Block/screen, 4,900 SFRM3 94.75/94.81/94.88/94.93 put condors, 3.5
- 2,000 SFRU3 94.68 puts
- 6,000 OQM3 94.81 puts, .25
- 5,000 SFRM3 94.68/94.75/94.81 put flys
- 5,000 SFRM3 94.50/94.56/94.62 1x1x2 put trees ref 99.7725 to -.775
- Treasury Options:
- 1,000 FVN 106/107 put spds vs. 107/108 call spds ref 107-29.5
- over 8,200 TYN3 112 puts, 14-15 ref 112-27
- Block/screen, 9,000 FVQ3 109.5 calls, 14.5 ref 107-29.25
