BONDS: J.P.Morgan Survey Shows Reduction In EGB & Gilt Longs
Feb-20 08:42
J.P.Morgan's latest European bond investor client survey reveals that “multi-currency European real money investors decreased their long duration exposure in EGBs (from +0.23 to +0.18 years). This level remains above the average observed since the beginning of ‘23 (+0.13 years).”
- “Single-currency European real money investors maintained their long duration exposure in EGBs (at +0.39 years). This level remains above the average observed since early ‘24 (+0.35 years).”
- “Investors decreased their overweight exposure in the periphery (from 24% to 20% net long). This level remains above the average observed since the beginning of ‘23 (7% net long).”
- “European multi-currency investors tweaked their USD exposure (moving from +0.01 years to neutral).”
- “Single-currency investors in GBP decreased their long duration exposure (from +0.42 to +0.35 years). This level remains broadly in line with the average observed since the beginning of ‘24 (+0.37 years).”
- Note that all survey metrics are compared to their respective benchmarks.
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Historical bullets
EGB SYNDICATION: 5/15-year LITHUN EMTN: Guidance
Jan-21 08:40
- EUR Benchmark 5Y Fixed (Jan. 28, 2030) MS+70 Area
- Coupon: Annual, act/act ICMA
- EUR Benchmark 15Y Fixed (Jan. 28, 2040) MS+145 Area
- Coupon: Annual, act/act ICMA
- Issuer: Lithuania Government International Bond (LITHUN)
- Settlement: Jan. 28, 2025
- Bookrunners: BNPP (B&D), BofA, JPM
- Co-Lead (no books): SEB Lithuania
- Investor presentation.
- Timing: May price today.
Details as per Bloomberg
OPTIONS: Two-Way USD Risk, Duelling Tariff Headlines Trigger Sizeable Flow
Jan-21 08:35
- Yesterday's FX derivatives volumes were seriously impressive considering the US market holiday, with over $110bln notional crossing the DTCC thanks to the USD sell-off, with tariff target currencies (namely EUR, CAD and CNY) leading the way.
- While relief was evident in the spot rally for EUR, CAD and others - short-end vol markets have not followed, with USD risk reversals and butterfly vol holding at much more cautious levels, somewhat vindicated by the follow-up from Trump overnight and his warning of 25% tariffs on USMCA nations to combat migration flow.
- As such, while USD/CAD sold off on the initial memo headlines yesterday, net upside demand via options is still evident, tipping the put/call skew toward calls. Over $4bln notional has traded in calls with strikes at 1.45 or above, positions which will have benefited from the bounce off the 1.4262 low yesterday.
- This raises the risks around Canadian politics, and increases the importance of Trudeau's succession, with tariff strategy comments on the candidates' campaign trail likely market movers.
GILTS: Off Early Highs, Syndication Eyed
Jan-21 08:28
The early uptick in gilts fades, as participants assess the mixed labour market data (soft quantity readings vs. firmer-than-expected private wages) and the latest developments in the U.S. tariff playbook.
- Futures peaked at 91.79 before fading back to ~91.60.
- Initial resistance at the January 17 high (91.96) untested.
- That leaves the bearish technical trend intact in the contract, initial support at the January 16 low (90.68).
- Yields flat to 1bp lower.
- Spread to Bunds 1bp wider at 214bp.
- The DMO has released the minutes of yesterday's consultations with gilt market participants, details available in a previous bullet.
- BoE-dated OIS showing ~63bp of cuts through year-end, matching pre-gilt open levels, 1bp more dovish on the day.
- SONIA futures flat to +2.0, back from early highs.
- On the lookout for the syndicated tap of the 4.375% Jan-40 gilt. Bookrunners have indicated this will likely be today’s business, in line with our own expectation.
