BUNDS: /SWAPS: ASW Widening Remains Limited Given Fundamental Backdrop
Mar-27 08:44
German ASWs generally a little wider on the risk-off price action triggered by U.S. auto tariffs/thr...
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BONDS: US and UK Roll update
Feb-25 08:43
ROLLS continue to dominate, June is not quite yet front Month for Gilt or Treasuries, but will likely be into Tomorrow.
- Ultra 30: 56%.
- TBond: 52%.
- Ultra 10: 52%.
- TYA: 57%.
- FVA: 51%.
- TUA: 57%.
- Gilt: 40% (as of Yesterday).
BUNDS: /SWAPS: Swap Spreads Remain Under Pressure On Debt Brake Reform Risk
Feb-25 08:40
BBG headlines note that German 10-Year swap spreads hit an all-time low.
- The headline is based on closing levels if quoting conventional swaps vs. Bunds, spread last ~-8bp, all-time intraday low at -9.26bp.
- Although both Bund vs. 3-month & 6-month Euribor ASWs are at all-time lows, just for completeness.
- Debt brake reform odds continue to weigh on long dated swap spreads/ASWs..
- We've written a lot about how fundamentals continue to screen bearish for long end swap spreads, although debt brake negotiations and already short positioning in spreads may promote vol.
STIR: SFRN5 96.50/97.00 Call Spread Blocked
Feb-25 08:27
Latest block trades lodged at 07:56:05 London/02:56:05 NY:
- SFRN5 96.50/97.00 call spread 2.5K lots blocked at 4.25, CME indicates a buyer.
- Another ~3.2K traded on screen around the block.
