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EGBs-GILTS CASH CLOSE: Bunds Cheapen Vs Swaps On High TLTRO Repayments

BONDS

European yields rose continuously for most of Friday's session, with core FI erasing most of the week's rally.

  • The German curve weakened in parallel, while the UK curve was mixed.
  • ECB TLTRO repayments came in higher than expected at E447.5bln
  • Asset swap spreads tightened as German yields rose, with collateral seen coming back to market, thereby easing shortages.
  • The biggest single move of the day, though, came after US producer price data came in higher than expected - 10Y Bund and Gilt yields rose over 4bp.
  • Attention turns to next week's heavy central bank schedule, with decisions among others by the ECB, BoE, and Federal Reserve.

Closing Yields / 10-Yr Periphery EGB Spreads To Germany

  • Germany: The 2-Yr yield is up 9.1bps at 2.16%, 5-Yr is up 11bps at 1.943%, 10-Yr is up 11.3bps at 1.933%, and 30-Yr is up 10.7bps at 1.746%.
  • UK: The 2-Yr yield is up 8.8bps at 3.426%, 5-Yr is up 5.2bps at 3.254%, 10-Yr is up 9.2bps at 3.181%, and 30-Yr is up 5.5bps at 3.57%.
  • Italian BTP spread up 3.1bps at 190.6bps / Spanish up 1.9bps at 102.4bps
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