BUNDS: /SWAPS: Hovering Above Cycle Lows
Feb-27 10:16
Long end German ASW spreads continue to hover just above cycle lows, with little in the way of concrete movement when it comes to funding plans covering increased defence spending.
- Various German political leaders have pointed to support for the deployment of a special fund (rumoured to be in the region of ~EUR200bln), but the timeline for pushing the fund through the current Bundestag continues to shorten.
- Meanwhile, comments surrounding tweaks to the debt brake have been more sanguine, with discussions on that matter set to be a more drawn-out affair.
- We've written a lot about how fundamentals continue to screen bearish for long end swap spreads, although debt brake negotiations and already short positioning in spreads are set to promote vol.
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ITALY AUCTION RESULTS: BTP Short Term and BTPei auction
Jan-28 10:16
| 2.55% Feb-27 BTP Short Term | 1.50% May-29 BTPei | 1.80% May-36 BTPei | |
| ISIN | IT0005633794 | IT0005543803 | IT0005588881 |
| Amount | E3bln | E1.25bln | E1.25bln |
| Previous | E1bln | E1.5bln | |
| Avg yield | 2.61% | 1.17% | 1.90% |
| Previous | 1.160% | 1.810% | |
| Bid-to-cover | 1.63x | 1.72x | 1.72x |
| Previous | 1.83x | 1.55x | |
| Avg Price | 99.91 | 101.40 | 99.06 |
| Pre-auction mid | 101.382 | 98.966 | |
| Prev avg price | 101.47 | 100.03 | |
| Prev mid-price | 101.440 | 99.996 | |
| Previous date | 26-Nov-24 | 25-Oct-24 |
STIR: SOFR Futures Blocks Seen In Recent Trade
Jan-28 10:13
Recent SOFR block flow lodged a few minutes apart:
- SFRU7 1,540 lots blocked at 95.995, looks like a buyer.
- SFRH8 1,159 lots blocked at 95.945, looks like a seller.
- SFRM8 1,000 lots blocked at 95.925, looks like a seller.
AUSTRIA T-BILL AUCTION RESULTS: 3/6-Month ATBs
Jan-28 10:13
| Type | 3-month ATB | 6-month ATB |
| Maturity | Apr 24, 2025 | Jul 24, 2025 |
| Allotted | E851mln | E822mln |
| Previous | E1.916bln | E1.198bln |
| Amount | E1bln | E1bln |
| Target | E1bln | E1bln |
| Previous | E2bln | E1.25bln |
| Avg yield | 2.525% | 2.410% |
| Previous | 2.790% | 2.800% |
| Bid-to-cover | 2.25x | 2.76x |
| Previous | 2.11x | 1.69x |
| Bid-to-offer | 1.91x | 2.27x |
| Previous | 2.02x | 1.62x |
| Previous date | Nov 26, 2024 | Oct 29, 2024 |
