UK: Traders target SONIA June and September 2023
Aug-17 07:48
- Desk price 200bps hikes by May.
- The largest moves in the SONIA strip are concentrated in June and September 2023, now down 35.5 ticks in early trade.
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BONDS: EGBs driving Treasuries and gilts lower in early trading
Jul-18 07:27
- It has been a weak start for core fixed income, with Bunds pulling Treasuries lower on the European open and gilts also opening with weakness.
- There is no obvious headline driver for the moves, with markets already starting to look ahead to Thursday's ECB meeting where a 25bp hike is expected (29bp priced by markets). Unless there is a surprise with a bigger hike, the communication surrounding further moves will be key - as will discussions of the anti-fragmentation tool.
- The big events of the day are largely UK-related with a speech from the MPC's Saunders at 10:00BST on monetary policy "past, present and future". Note that the August meeting will be Saunders' last and he has consistently voted for 50bp rate hikes recently, in order to try to front-load rate hikes.
- BTP-Bund 10-year spreads are around 5bp wider on the day, with political concerns continuing to linger. Other moves in peripheral spreads are unremarkable.
- TY1 futures are down -0-5+ today at 118-15 with 10y UST yields up 2.7bp at 2.946% and 2y yields up 2.4bp at 3.149%.
- Bund futures are down -0.87 today at 152.23 with 10y Bund yields up 5.3bp at 1.182% and Schatz yields up 4.3bp at 0.483%.
- Gilt futures are down -0.22 today at 115.42 with 10y yields up 2.5bp at 2.113% and 2y yields up 2.2bp at 1.927%.
BELGIUM AUCTION PREVIEW: 5/10/30-Year OLOs
Jul-18 06:52
- On offer today: E2.7-3.7bln of OLOs
- 0% Oct-27 OLO (ISIN: BE0000351602)
- 0.35% Jun-32 OLO (ISIN: BE0000354630)
- 1.40% Jul-53 OLO (ISIN: BE0000355645)
- Market colour: 5/10-year OLOs saw yields rose close to 110bp and 105bp to the June 16 highs of 2.008% and 2.552%. Yields are now back around 1.121% and 1.765% respectively.
- 30-year OLOs saw a later high of 2.954% on June 21, up 95bp since the beginning of May. Yields have since decreased 51bp to 2.446%.
- 5/10-year OLO spreads to the Bobl and Bund widened just over 10bp since the beginning of May, to stand around 37.1bp and 68.9bp at the time of writing, just a couple of basis points off highs seen on July 6 and June 14.
- 30-year OLO spreads to the 0% Aug-52 Bund are currently around 108.5bp, just over 1bp off the July 11 high, having widened close to 13bp since the beginning of May.
- Timing: Results will be available shortly after the auction closes at 1100 BST / 1200 CEST.
BELGIUM AUCTION PREVIEW: 5/10/30-Year OLOs: Auction history
Jul-18 06:52
0% Oct-27 OLO (ISIN: BE0000351602)
| Date | Issued | Avg yield | Bid/cover | Price | Pre-auct | Operation |
| Current | 1.121% | |||||
| 31-Mar-20 | E8bln | -0.013% | 100.10 | New | Synd |
Similar past auctions: 1.00% Jun-26 OLO (BE0000337460)
| Date | Issued | Avg yield | Bid/cover | Price | Pre-auct | Operation |
| Current | 0.928% | |||||
| Last 5 ave | E405mln | -0.498% | 2.28x | |||
| 22-Mar-21 | E627mln | -0.538% | 3.29x | 108.21 | 108.09 | Auction |
| 05-Feb-21 | E350mln | -0.560% | 1.59x | 108.52 | Auction | |
| 11-Dec-20 | E150mln | -0.677% | 2.67x | 109.46 | Auction | |
| 15-May-20 | E308mln | -0.247% | 1.69x | 107.66 | Auction | |
| 23-Sep-19 | E590mln | -0.469% | 2.16x | 110.08 | Auction |
0.35% Jun-32 OLO (ISIN: BE0000354630)
| Date | Issued | Avg yield | Bid/cover | Price | Pre-auct | Operation |
| Current | 1.765% | |||||
| Last 4 ave | E1.472bln | 1.539% | 2.04x | |||
| 20-Jun-22 | E1.073bln | 2.295% | 2.61x | 82.80 | 82.61 | Auction |
| 23-May-22 | E1.757bln | 1.569% | 1.64x | 88.72 | 88.56 | Auction |
| 25-Apr-22 | E1.542bln | 1.412% | 1.80x | 90.02 | 89.86 | Auction |
| 21-Mar-22 | E1.516bln | 0.880% | 2.10x | 94.83 | 94.65 | Auction |
| 18-Jan-22 | E5bln | 0.363% | 99.87 | New | Synd |
1.40% Jul-53 OLO (ISIN: BE0000355645)
| Date | Issued | Avg yield | Bid/cover | Price | Pre-auct | Operation |
| Current | 2.446% | |||||
| Last 2 ave | E1.218bln | 2.357% | 1.62x | |||
| 20-Jun-22 | E1.536bln | 2.801% | 1.38x | 71.23 | 70.93 | Auction |
| 25-Apr-22 | E900mln | 1.912% | 1.87x | 88.07 | 87.80 | Auction |
| 15-Feb-22 | E5bln | 1.424% | 99.40 | New | Synd |
