EU-BILL AUCTION RESULTS: 3/6/12-Month EU-Bills

• EUR/USD: $1.1445-50(E1.1bln), $1.1500-10(E1.9bln), $1.1550-65(E3.0bln), $1.1585-00(E1.8bln), $1.1600(E1.1bln)
• USD/JPY: Y148.65-80($549mln), Y149.50($753mln), Y150.00($1.2bln), Y150.50($967mln)EUR/JPY: Y173.00(E570mln)
• AUD/USD: $0.6445-65(A$1.4bln)
• NZD/USD: $0.6030-50(N$590mln)
• USD/CAD: C$1.3778-90($783mln)

Goldman Sachs note that “long-end yields are marginally off the highs, but these higher rates are consistent with generalised weakness in 30-Year bond markets across the G4. Our spillover framework suggests that spillovers from the U.S., Germany and Japan are responsible for most of the move higher in UK yields since the end of June”.

• They go on to note that “this is corroborated by our ‘country risk’ measure, which has been benign for the UK over recent weeks. 30-Year gilts have also outperformed vs. other measures of duration risk”.
• Goldman view the “outperformance vs. peers as evidence that the improved macro outlook will stabilise markets and reduce volatility, and our macro valuation framework suggests UK yields are slightly elevated vs. macro factors”.
• They do not expect any concrete news on BoE QT this week.

• Bund and wider Treasuries are finding some buying interest, volumes in the 10s, 5s, and 2s part of the US Curve are quite impressive for this time of the Day, but to be expected given the huge moves in Bonds following the dire US NFP two Months Revisions.
• TYU5 found resistance right on the July high of 112.12+, printed a 112.12 high on Friday.
• A clear break through the latter, would see risk towards 112.23, May's high.
• Looking at Yield Terms for the 10yr, May's low is circa 4.12%, and this would equate to 112.28+ Today.
• USDJPY fades off the high on the back of the latest Govie flows.