MONTH-END EXTENSIONS: Citi Flag Slightly Larger Than Normal EGB Extension & Small Gilt Contraction
Jul-20 11:29
Citi project “the Bloomberg Euro Treasury index to extend by 0.06 years (marginally higher than 5yr median monthly extension) and FTSE EGBI to extend by 0.07 years at month-end. On a weighted-duration basis, both extensions should be most supportive for OATs, followed by Bunds. In the UK, the Bloomberg Sterling gilts index and FTSE gilt index are projected to contract by 0.01 years and 0.03 years respectively.”
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SCHATZ: Finds support at the 10th March level
Jun-20 11:26
- This was also a good rejection in the German shorter end 2yr Schatz and its 10th March high in Yield that was at 3.169% and equated to 104.92.
- The 2yr Yield printed a 3.168% high and 104.925 low in futures.
STIR: Jul'23/Aug'23 SOFR Midcurve Straddle Spread
Jun-20 11:24
- 4,300 OQN3/OQQ3 95.87 straddle spds ref 95.95
GBP: The Pound drifts lower
Jun-20 11:18
- The Pound push lower on the back of Gilt, at intraday low against the EUR, USD, JPY.
- Small support in Cable moves up to 1.2723, followed by 1.2699.
