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Firmer Into NFPs, But Off Best Levels

EGBS
HomepageEuropean Central Bank (ECB) Market NewsBulletMarketsFixed Income Bullets

EGBs comfortably higher on the day, with this morning’s European data and weakness in equity markets driving the bid (element of pre-NFP positioning likely factoring in as well).

  • Bund futures traded through initial resistance levels to print as high as 134.68, before backing off to 134.52 last.
  • Fresh extensions higher would target Fibonacci resistance at 134.95.
  • German yields 2-4bp lower, bull flattening.
  • German ASWs a little wider.
  • EGB spreads vs. Bunds little changed after some early, modest widening alongside the weakness in equities.
  • BTP/Bunds remains tethered to 145bp, while OAT/Bunds looks below 70bp once again. The latter has failed to hold similar moves below that level in recent weeks.
  • ECB-dated OIS prices ~24bp of cuts for this month’s meeting and ~64bp of easing through year-end, remaining a bit more aggressive than the once-per-quarter guidance that several GC members have pointed towards in recent weeks.
  • Fresh cycle lows for EUR 5y5y inflation-linked swaps (although don’t expect this to alter ECB language give the focus on in house indicators), with soft equities and lower oil prices continuing to weigh.
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EGBs comfortably higher on the day, with this morning’s European data and weakness in equity markets driving the bid (element of pre-NFP positioning likely factoring in as well).

  • Bund futures traded through initial resistance levels to print as high as 134.68, before backing off to 134.52 last.
  • Fresh extensions higher would target Fibonacci resistance at 134.95.
  • German yields 2-4bp lower, bull flattening.
  • German ASWs a little wider.
  • EGB spreads vs. Bunds little changed after some early, modest widening alongside the weakness in equities.
  • BTP/Bunds remains tethered to 145bp, while OAT/Bunds looks below 70bp once again. The latter has failed to hold similar moves below that level in recent weeks.
  • ECB-dated OIS prices ~24bp of cuts for this month’s meeting and ~64bp of easing through year-end, remaining a bit more aggressive than the once-per-quarter guidance that several GC members have pointed towards in recent weeks.
  • Fresh cycle lows for EUR 5y5y inflation-linked swaps (although don’t expect this to alter ECB language give the focus on in house indicators), with soft equities and lower oil prices continuing to weigh.