GILTS: /SWAPS: J.P.Morgan Remove Tactical 10s Narrowing & 10s30s Flattener Bias

Italy will sell E2.50-2.75bln of the 2.55% Feb-27 BTP Short Term (ISIN: IT0005633794) and E1.25-1.50bln of the 1.80% May-36 BTPei (ISIN: IT0005588881) at today’s auction.

• This will be the first re-opening of the 2.55% Feb-27 BTP Short Term, which was launched on January 28. The launch saw a 1.63x bid-to-cover ratio for the E3bln issued.
• The spread of this BTP Short Term to the 2.20% Mar-27 Schatz has fluctuated in a relatively narrow range between 32-35bps since January.
• The 1.80% May-36 BTPei has been re-opened three times since its syndicated launch last March. The January re-opening attracted a 1.72x bid-to-cover ratio for the E1.25bln issued, with the average price of 99.060 exceeding the 98.966 pre-auction mid-price.
• Comparing against the 1.45% Mar-36 BTP, this BTPei has a breakeven rate of 171.4bps (vs a YTD closing low of 168.1bps on Jan 1)
• Timing: Results will be available shortly after the bidding window closes at 10:00GMT / 11:00CET.

ERZ5 98.50/98.75cs, bought for 3.25 in 20k.

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).