EQUITIES: Updated Roll Pace
Jun-13 09:54
- Futures traders, Investors will be turning their attention to the Equity Triple Witching next Week, multiple Expiries in Indices and Options.
PACE of completion stands at:
- SPX: 12% vs 9% Yesterday.
- NDX: 8% vs 4%.
- DOW: 7% vs 3%.
- VGA: 11% (as of Yesterday in EU).
- DAX: 5%.
- FTSE: 8%.
The spreads are trending below the Pace of expectation, but nothing too surprising, this was always expected to pick up Today, but especially next Week.
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EGB SYNDICATION: Latvia 5-year benchmark: Revised Guidance
May-14 09:51
- EUR Benchmark 5Y Fixed (May 21, 2030) MS+70a (+/-5) will price in range (we think there is a good chance of a large E1.0-1.5bln transaction size)
- Guidance MS+80 area
- Books above EU2.8b (including JLM interest): Leads
- Coupon: Annual, act/act ICMA
- Format: Reg S CAT1, registered, senior unsecured
- Settlement: May 21, 2025
- ISIN: XS3075496896
- Bookrunners: BNPP (B&D), GS, JPM
- Timing: May price today
Details as per Bloomberg
BONDS: BofA: Pay U.S. 30-Year Forward Real Yields Vs. UK, Long Real EUR 5y5y
May-14 09:48
Bank of America note that “Q4 saw a material deterioration in the U.S. International Investment Position (IIP), taking it to -90%/GDP. Meanwhile the Eurozone pushed further into surplus, while the UK's IIP shortfall was mostly revised away. This leaves TIPS looking expensive versus both on this metric”.
- They highlight at the same time “the IMF's measure of global imbalances has been revised larger - requiring overseas investors to commit ever greater sums to the U.S. at a time when many are purportedly trying to "de-dollarize" (i.e., do the opposite)”.
- Bank of America believe that “the vulnerable region of the Treasury market is the long-end, both on a spread and a curve basis. We would now pay long-dated forward real yield in TIPS to receive the equivalent in UK rates, picking up yield”.
- They also recommend receiving 5y5y "real €str", as the “5y5y real rate is sufficiently far forward to represent "neutral" and is somewhat higher than we believe is fair for a Eurozone r*. But it also represents almost the peak of the forward real rate map, with attractive roll-down”.
OUTLOOK: Price Signal Summary - EUROSTOXX 50 Futures Hold On To Recent Gains
May-14 09:48
- In the equity space, a bullish trend condition in S&P E-Minis remains intact and this week’s appreciation reinforces bullish conditions. The contract has cleared an important resistance at 5837.25, the Mar 25 high and a bull trigger. This strengthens the bullish theme, paving the way for a continuation near-term. Sights are on the 6000.00 handle next. Initial firm support to watch lies at 5648.28, the 50-day EMA.
- A bullish theme in the EUROSTOXX 50 futures contract remains intact. Gains on Monday reinforce current bullish conditions. The contract is extending the recent breach of 5263.01, 76.4% of the Mar 3 - Apr 7 bear leg. The continuation higher signals scope for a climb towards 5516.00, the Mar 3 high and the key bull trigger. Initial firm support to watch lies at 5152.85, the 50-day EMA. Clearance of this level would signal a possible reversal.
