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Spreads continue to tighten after the ECB presser

EGB SUMMARY
  • The ECB announced today that it would significantly increase the pace of purchases under its PEPP programme from tomorrow. However, the ECB failed to commit to any numerical levels - so we will have to wait until weekly data released on Monday 22 March to see how much fast the ECB purchases are in reality.
  • Bund futures moved 70 ticks higher on the back of the 12:45GMT/13:45CET statement to hit a high of 172.20 but at writing have retraced about half of this move higher.
  • Peripheral and semi-core spreads have continued to tighten with 10y French spreads 1.3bp tighter on the day, 10y Austria 2.9bp tighter and 10y BTP spreads 5.3bp tighter at writing.
  • BTP futures moved almost 120 ticks higher to breach key resistance at 150.00 and touch a high of 150.39, although at present they have moved to just under the 150 level. The breach of this level is a significant technical development which will be strengthened if we close above 150 today.
  • Bund futures are up 0.49 today at 171.81 with 10y Bund yields down -2.8bp at -0.343% and Schatz yields down -0.8bp at -0.696%.
  • BTP futures are up 1.10 today at 150.03 with 10y yields down -8.4bp at 0.590% and 2y yields down -3.2bp at -0.409%.
  • OAT futures are up 0.63 today at 162.64 with 10y yields down -4.1bp at -0.107% and 2y yields down -0.7bp at -0.624%.
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