The EU launches its debut bond sale for the SURE programme
There has been trade in 20-30 year swaps ahead of a superlong JGB auction today. Ultralong asset swaps have richened significantly in recent weeks.
The AUD 3s/10s box spread has pushed to its widest point since early September. The RBA is expected to deliver rate cuts and more QE near term.
The SOFR/FF basis dipped into the CME auction, with the biggest swings in the long end not surprisingly. The basis then bounced afterwards.
Despite underwhelming realizeds, gamma on longer tails has firmed today. Big Bang comes and goes. Deutsche favors shorting 1y10y as short term risks
Recent structured note activity in USD and EUR.
Strategists suggest fading the recent drop in 30y euro vega amid expectations callable supply will recede into year-end.
A run-of-the-mill risk-on move fizzled out early in the GBP markets, allowing the curve to bull-flatten late on. JPM looks to lighten GBP positions.
The CME announced that it has successfully executed the SOFR Basis Swap Auction.
The 2nd largest bank deal - BofA's $8.5bn 5-part - boosted a lackluster week of issuance. Lower volumes are expected this week.
Traders discuss whether increased longs and more supply could hit Bunds.
The mood in US markets at the start of this new week was one of optimism regarding a stimulus breakthrough. Right now, eyes are on the CME big bang.
The euro new issue pipeline has a dozen names expected to price in the near future
Long JPY swap spreads have ticked higher in calm trade. Long-dated forward swaps are considered cheap after the recent push higher.
The AUD 10s/30s swap curve spread traded after the significant steepening seen in recent months. The RBA is expected to cut rates next month.
BEs reluctantly rode the risk on move spurred by better retail sale today amid an otherwise tranquil trade. Attention shifts to 5y TIPS auction.
USTs are bear steepening modestly as equities climb a wall of worries. More banks look into the Big Bang weekend.
Bunds are in positive territory heading for the weekend, along with swaps. Bank mull SURE's upcoming bond issuance.
Headlines from a rare anti-UK French PM has left negotiators needing to throw a sprat to catch a Macron. Gilts spiked on the Brexit news. 5y IRS flow.
The 10s/30s UST curve is unchanged as the latest global corona yield grab fades. Banks look at Big Bang weekend.