JGBS: Goldman Expect Further Underperformance Vs. Peers
Feb-14 10:56
Goldman Sachs “continue to see a case for further JGB underperformance.”
- They suggest that a “sustained BOJ hiking cycle that takes rates towards neutral from below - but not into restrictive territory - should see a gradual rise in real rates, further flattening in the belly of the nominal JPY curve, but one that falls short of an inversion.”
- They also note that “as hikes extend we would expect forward rates to trade with an increasing beta to the front-end.”
- Cross market, Goldman “continue to expect 5-10y JGBs to underperform in 2025 versus the rest of G10.”
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SONIA: Call spread vs Put spread trades again
Jan-15 10:54
SFIU5 95.85/96.00cs vs 95.50/95.35ps, bought the cs for 1.5 in 9k total.
EGBS: Bunds Rise Alongside Gilts Following UK CPI
Jan-15 10:38
Major EGB futures have risen alongside Gilts following the lower-than-expected UK CPI reading this morning, with Bund futures +14 ticks at 130.61 at typing, just off session highs of 130.74.
- German cash yields are 0.5-3bps lower, with the belly outperforming. The 10-year Gilt/Bund spread has tightened almost 6bps on the session following the UK data.
- 10-year EGB spreads to Bunds have tightened, with BTPs outperforming. After reaching a high of 124bps on Monday, the BTP/Bund spread is now back at ~116.5bps.
- Today's 30-year Bund auction saw average results, while the EFSF has sent an RFP for an upcoming transaction, in line with MNI’s expectations. We expect the transaction to take place on Monday or Tuesday next week.
- Eurozone industrial production was in line with consensus expectations and MNI’s tracking at 0.2% M/M (vs an upwardly revised 0.2% prior).
- ECB speakers (Lane overnight, de Guindos and Villeroy this morning) have re-iterated the base case of further policy easing, but were not market movers.
- Global focus remains squarely on this afternoon’s US CPI report (1330GMT).
PORTUGAL T-BILL AUCTION RESULT: 12-Month BT
Jan-15 10:37
| Type | 12-month BT |
| Maturity | Jan 16, 2026 |
| Amount | E1bln |
| Target | E1.0-1.25bln |
| Previous | E500mln |
| Avg yield | 2.416% |
| Previous | 2.344% |
| Bid-to-cover | 2.67x |
| Previous | 3.11x |
| Previous date | Dec 04, 2024 |
