GERMANY: Leading Institutes See Debt Brake Loosening Impact Starting 2026
Apr-10 09:30
The German GDP growth forecasts of a research institute collective published today were downwardly r...
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GILTS: Either Side Of Unchanged Given Mixed Offsore Inputs
Mar-11 09:29
Gilt yields either side of unchanged as the late Monday rally in U.S. Tsys is countered by fresh weakness in Bunds as hopes surrounding a German fiscal accord being struck in the immediate term rise once again.
- Futures -15 at 92.14 last.
- Recent gains in the contract appear corrective from a technical standpoint, with the bear mode remaining intact.
- First support at Friday’s low (91.67), while Friday’s high (92.63) continues to present initial resistance.
- Yields 1bp lower to 1bp higher, curve twist steepens.
- The 10-Year gilt/Bund spread is on track for its first sub-180bp close since September (last ~5bp tighter on the day at ~176bp), with German fiscal expectations continuing to drive cross-market moves.
- Next support of note in the spread located at 175bp, which protects the 76.4% retracement of the July ’24 to December ’24 widening (174.5bp).
- Books are open on the new 1.875% Sep-49 I/L gilt. We pencil in a GBP4.0bln size, although we see risks of the transaction being upsized to GBP4.5bln and expect books to close at 10:00 GMT.
- BoE-dated OIS little changed on the day, showing a little over 55bp of cuts through December.
BoE Meeting | SONIA BoE-Dated OIS (%) | Difference vs. Current Effective SONIA Rate (bp) |
Mar-25 | 4.456 | +0.1 |
May-25 | 4.266 | -18.9 |
Jun-25 | 4.197 | -25.7 |
Aug-25 | 4.053 | -40.1 |
Sep-25 | 4.009 | -44.6 |
Nov-25 | 3.912 | -54.3 |
Dec-25 | 3.881 | -57.4 |
EURIBOR OPTIONS: Put Spread buyer
Mar-11 09:24
ERH6 97.62/97.50ps, bought for 3.75 in 5k.
GERMAN AUCTION PREVIEW: 2.20% Mar-27 Schatz
Mar-11 09:24
This morning, Germany will hold its fourth Schatz auction of the year. On offer will be E4.5bln of the 2.20% Mar-27 Schatz.
- The E4.5bln size is in line with the last Schatz auction on February 18.
- Recent Schatz auctions have passed smoothly, with solid bid-to-covers (in a 2.09x to 2.81x range since August), bid-to-offers (1.69x to 2.17x range since August) and the low prices above the secondary market mid-prices throughout 2024/5 (low price equal to mid-price on the last Schatz auction in February, but the auction passed smoothly).
- For the last Schatz auction on 18 February, the bid-to-cover stood at 2.68x, while the bid-to-offer came in at 2.11x.
- The fiscal situation in Germany is characterized by some uncertainty at the moment as an announcement on additional military and infrastructure spending last week saw German yields jump across the curve - however, for the announced deal to pass, approval from party "the Greens" is likely needed, who today have mentioned they are ready to negotiate after rejecting the initial CDU/CSU/SPD draft proposal earlier. We'd expect today's auction to pass smoothly nonetheless.
- Schatz positioning currently is short (indeed there is short positioning across the German curve) see our latest Europe PI below.
- The next German auction will be tomorrow's E4.5bln of the 2.50% Feb-35 Bund (ISIN: DE000BU2Z049), while the 2.20% Mar-27 Schatz will be reopened next on April 1, for another E4.5bln.
- Timing: Results will be available shortly after the bidding window closes at 10:30GMT / 11:30CET.
