SWAPS: Commerzbank Remain Bearish German Long-End Spreads
Mar-28 10:38
Further to the above, Commerzbank reaffirm their view, noting that “the supply-demand pattern, rate-hedging and sea-changes in collateral markets argue for further cheapening of long-end Bunds vs. swaps. The massive fiscal spending plans for defence and investments in Germany compounds the Bund swap spread dynamics”.
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EGBS: Bund Futures Strengthen Alongside European Equities; Spreads Tighten
Feb-26 10:38
Major EGB futures have strengthened this morning with no obvious catalyst. A renewed fall in natural gas futures (-4% today) will have helped limit retracements over the last 90 minutes, even in the presence of modest 15-year Bund supply.
- Bund futures are +24 ticks at 132.72, through the Feb 21 high of 132.60. Recent gains still appear corrective for now, but clearance of key near-term resistance at 132.97 (Feb 13 high) would signal a reversal. Support is seen at the Feb 19 low (131.96).
- The German curve has bull flattened, with 30-year yields down 2.5bps.
- Today ‘s 15-year Bund auction passed smoothly.
- European equity futures are also higher, facilitating a tightening of 10-year EGB spreads to Bunds. The BTP/Bund spread is 1bp narrower at 111.5bps, after mechanically widening on the back of a BBG benchmark BTP roll earlier this week.
- Regional focus remains on tomorrow’s data calendar. Which includes Spanish flash February inflation.
GERMAN AUCTION RESULTS: 15-Year Bunds
Feb-26 10:34
| 0% May-36 Bund | 1.00% May-38 Bund | |
| ISIN | DE0001102549 | DE0001102598 |
| Total sold | E500mln | E1.5bln |
| Allotted | E401mln | E1.253bln |
| Previous | E0.408bln | E0.438bln |
| Avg yield | 2.51% | 2.60% |
| Previous | 2.34% | 2.42% |
| Bid-to-offer | 2.15x | 2.36x |
| Previous | 3.98x | 4.81x |
| Bid-to-cover | 2.68x | 2.83x |
| Previous | 4.87x | 5.49x |
| Avg price | 75.75 | 82.29 |
| Low price | 75.73 | 82.27 |
| Pre-auction mid | 75.702 | 82.235 |
| Prev avg price | 76.46 | 83.57 |
| Prev low price | 76.46 | 83.57 |
| Prev mid-price | 76.386 | 83.529 |
| Previous date | 09-Oct-24 | 04-Sep-24 |
CROSS ASSET: MONTH EXTENSIONS (Updated)
Feb-26 10:29
MONTH END EXTENSION (updated): Added DB FX.
Bloomberg Bonds:
- US Tsys: +0.12yr (decent).
- EU Govies: +0.08yr (average).
- UK Govies: -0.03yr (non event).
- JGBs: +0.04yr (small).
MS Bonds:
- US Tsys: +0.11yr (decent).
- EU Govies: +0.07yr (average).
- UK Govies: -0.02yr (non event).
DB FX:
- Their model signals towards USD buying, they have a higher conviction in the EURUSD and NZDUSD, and average selling in the AUDUSD.
