STIR: RONIA spike: Saporta to speak today and PMRR implications (3/3)
Nov-07 07:15
- So is that estimate of PMRR still accurate given the volatility we have seen today? This might be something touched upon in BOE Executive Director for Markets Vicky Saporta's speech today (text due at 11:10GMT as she makes an appearance on a panel at the ECB's money market conference). We will also be watching the speech closely to see whether she discusses the recent volatility in funding markets.
- Overall, we think the top of PMRR is still some way away but we have entered the final straight for the balance sheet to be "demand-led" through repo operations rather than "supply-led" through the APF / TFSME. And we expect this increased volatility in RONIA-Bank Rate will remain possibly for a few weeks after each large future gilt redemption held by the APF before subduing a little in interim period (albeit with spikes around quarter ends).
- Also given that there are a lot less excess reserves around than there were in previous periods, we think year-end will likely see much larger increases in funding spreads than in previous periods. This can of course be avoided to some extent in there is increased usage of operations like the STR around big demand points - but we would still expect quarter/year-end spikes to increase as the size of the Bank's balance sheet continues to fall.
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EUROSTOXX50 TECHS: (Z5) Trend Needle Points North
Oct-08 07:11
- RES 4: 5777.41 1.382 proj of the Aug 1 - 22 - Sep 2 price swing
- RES 3: 5727.18 1.236 proj of the Aug 1 - 22 - Sep 2 price swing
- RES 2: 5700.00 Round number resistance
- RES 1: 5689.00 High Oct 2
- PRICE: 5619.00 @ 07:55 BST Oct 8
- SUP 1: 5615.00 Intraday low
- SUP 2: 5527.10 20-day EMA
- SUP 3: 5455.98 50-day EMA
- SUP 4: 5366.00 Low Sep 17
Eurostoxx 50 futures remain in a bull-mode condition and short-term weakness is considered corrective. The recent breach of key resistance at 5525.00, the Aug 22 high, confirms a resumption of the uptrend. Sights are on the 5700.00 handle next, with potential for a test of 5727.18 further out, a Fibonacci projection. MA studies are in a bull-mode position too, highlighting a dominant uptrend. Initial firm support is 5527.10, the 20-day EMA.
GERMAN DATA: August Manufacturing Sees Broad-Based Drop to Cycle Lows
Oct-08 07:09
- Industrial production in August was much weaker than expectations (-4.3% M/M vs -0.9% cons). Destatis mentions some one-offs for the particularly weak print but the drop to cycle lows remains. On a 3m/3m comparison, IP printed -1.3%.
- "In August 2025, production in industry excluding energy and construction was down 5.6% from July 2025 after seasonal and calendar adjustment. Within industry, decreases were reported in all three major groups". See chart below for an index comparison.
- "The negative development of production was particularly attributable to the sharp decrease seen in the automotive industry, Germany's largest industrial branch (-18.5% on the previous month). The marked decrease may be explained, at least in part, by the combination of annual plant closures for holidays and production changeovers. The development of production in the manufacture of machinery and equipment (-6.2%) continued to have a negative impact on the overall result, following the increase of 9.2% registered in July 2025 [eg base effects at play here]. The drop in output witnessed in the pharmaceutical industry (-10.3%) and in the manufacture of computer, electronic and optical products (-6.1%) also had a negative effect.", Destatis comments on drivers.
US TSY FUTURES: FV/US Flattener Blocked
Oct-08 07:07
Latest block trades lodged at 07:53:06 London/02:53:06 NY:
- FVZ5 6.1K lots blocked at 109-10.25, looks like a seller.
- USZ5 1.9K lots blocked at 116-29, looks like a buyer.
- Looks like a ~$270K DV01 FV/US flattener, cash 5s20s incrementally flatter (~0.5bp) since the block was lodged, last 97.8bp, operating comfortably within the 92.1-118.5bp closing range seen since late July.
