FRANCE AUCTION RESULTS: Solid Demand At Today's MT OAT Auction
Feb-20 10:08
E13.489bln of MT OATs sold, the top of the E11.5-13.5bln target range.
- 31% of the total auction was allocated to the new long 3-year 2.40% Sep-28 OAT (E4.195bln). The 3.48x bid-to-cover ratio was much higher than the 2.05x attracted at the launch of the previous on-the-run 2.50% Sep-27 OAT in January 2024.
- E7.498bln of the 2.75% Feb-30 OAT was sold, a little below last month’s E7.674bln. The bid-to-cover of 2.90x was higher than last month’s 2.60x, while the lowest accepted price of 100.01 was in excess of the 99.939 pre-auction mid.
- Overall, it’s another decent MT OAT auction. OAT futures have moved ~10 ticks higher since the 0950GMT bidding deadline.
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GERMAN DATA: ZEW Headline Expectations Fall in January
Jan-21 10:05
The German ZEW expectations index fell to 10.3 in January, compared to a consensus estimate of 15.1, and December's 15.7, indicating a broad stalling at a relatively low level. The current situation index meanwhile ticked up a bit, to -90.4, outperforming consensus of -93.1 but remains bleak.
- A wider update to German sentiment will follow later this week with the January flash PMIs, and Monday's IFO Business Climate.
- The ZEW index is based on a survey of "experts from banks, insurance companies and financial departments of selected corporations [which] have been interviewed about their assessments and forecasts for important international financial market data" - so the index can exhibit elevated levels of correlation with German stock indices as the DAX.
EURIBOR: EURIBOR FIX - 21/01/24
Jan-21 10:05
EURIBOR FIX - EMMI/Bloomberg
- EUR001W 2.9090 -0.0120
- EUR001M 2.7740 -0.0110
- EUR003M 2.6810 0.0040
- EUR006M 2.6060 -0.0130
- EUR012M 2.4890 0.0060
US TSY FUTURES: TU/TY Flattener Blocked
Jan-21 10:04
Latest block trades lodged at 09:39:07 London/04:39:07 NY:
- TUH5 5,597 lots blocked at 102-24+.
- TYH5 2,592 lots blocked at 108-25+.
- Would guess a curve flattener given the TY leg traded further through the offer than the TU leg and the 2s7s spread has flattened ~1bp over the last 30 minutes.
- 2s7s now ~12bp off the early '25 closing high, last 21.6bp.
- Looks slightly mis-weighted compared to the CMEs recommended 2:1 ratio, with a bias towards the TU leg.
Fig. 1: US. 2-/7-Year Tsy Yield Curve (bp)
Source: MNI - Market News/Bloomberg
