BUNDS: /SWAPS: Long End ASWs Resilient Despite Outright Sell Off
Dec-10 14:33
Buxl swap spreads & ASWs have been resilient during this week’s sell off in bonds and trade little changed on the week. Hawkish ECB repricing in the short end has translated into a fairly uniform shift higher in both long end bond yields and swap rates.
- Note the resilience in spreads also comes despite some flattening on the EUR 10s30s curve, which is largely being attributed to potential liquidation in steepener positions, a widely favoured position centred on the impending transition of the Dutch pension fund sector (which will generate the liquidation of long end received positions).
- The DFA annual issuance plan presents a domestic focal point and is due to be released on Thursday of next week. Our issuance team will outline expectations ahead of that event.
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EQUITIES: Wall St. Set For Higher Open After Progress Towards Ending Shutdown
Nov-10 14:27
E-minis remained underpinned after movement towards the reopening of the government over the weekend, pointing to comfortably higher cash opens.
- Such a move would extend on Friday’s late recovery in cash indices.
- The 3 major contracts are through Friday’s highs but shy of Thursday tops.
- Our technical analyst notes that the trend condition in S&P 500 e-minis remains bullish and the pullback since the Oct 30 high appears corrective. Friday's activity highlights a potential reversal signal - a bullish doji candle. A continuation higher would signal the end of a correction and open 6,953.75, the Oct 30 high and bull trigger.
- S&P 500 e-minis: +0.98%
- NASDAQ 100 e-minis: +1.54%
- DJIA e-minis: +0.44%
STIR FUTURES: Earlier Rolls, Block Sale
Nov-10 14:08
Appr -32,000 SFRZ5/SFRH6 spreads sold earlier: -0.200 after -10,000 SFRZ5 Block sale, 96.24 at 0836ET.
BONDS: Bid In Tsys Lends Wider Support
Nov-10 14:08
Spillover support for Bunds & gilts from the recent bid in Tsys, which seems flow-centric given the lack of meaningful macro headlines.
- Bund futures to fresh session highs, but 10-15 ticks off Friday’s top, while gilt futures fail to retest London morning highs.
- German & UK yields little changed across the curve, still outperforming U.S. peers.
