BONDS: EGB/Gilt - Attention turns to the US NFP tomorrow
Jul-07 14:22
- A more steady afternoon session for EGBs and Bund, but still a 150 ticks range for the Bund.
- Most investors are on the sideline, as they await the more important US NFP tomorrow.
- Peripheral spreads have widened against the German 10yr, Greece is in the lead by 15.2bps.
- Gilt are off the low, but 60 ticks down at the time of typing, and outperforms Bund.
- A decent wide range session for Gilt, at 99 ticks, with below average volumes.
- Looking ahead, BoE Pill, Fed Waller and Bullard are the scheduled speakers.
- Sep Bund futures (RX) down 123 ticks at 150.7 (L: 150.15 / H: 151.65).
- Germany: The 2-Yr yield is up 12.4bps at 0.512%, 5-Yr is up 10.7bps at 0.928%, 10-Yr is up 8bps at 1.286%, and 30-Yr is up 4bps at 1.563%.
- Sep Gilt futures (G) down 64 ticks at 115.31 (L: 114.66 / H: 115.65)
- UK: The 2-Yr yield is up 6.7bps at 1.82%, 5-Yr is up 5.1bps at 1.797%, 10-Yr is up 2.4bps at 2.116%, and 30-Yr is up 1.1bps at 2.549%.
- Sep BTP futures (IK) down 151 ticks at 123.66 (L: 123.02 / H: 124.95)
- Sep OAT futures (OA) down 97 ticks at 140.1 (L: 139.38 / H: 140.87)
- Italian BTP spread up 5bps at 199.8bps
- Spanish bond spread up 2.6bps at 109.9bps
- Portuguese PGB spread up 3.4bps at 111bps
- Greek bond spread up 15.6bps at 224.8bps
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Historical bullets
OPTIONS: Expiries for Jun08 NY cut 1000ET (Source DTCC)
Jun-07 14:22
- EUR/USD: $1.0600(E606mln), $1.0650(E658mln), $1.0680-85(E510mln), $1.0750-60(E880mln), $1.0800(E880mln)
- USD/JPY: Y130.00-15($709mln)
- GBP/USD: $1.2450(Gbp702mln)
- EUR/GBP: Gbp0.8585-95(E662mln)
- NZD/USD: $0.6315(A$1.1bln)
US TSY FUTURES: BLOCKs, 2s, 5s
Jun-07 14:21
Separate posts selling into short end, contributing to bull flatteners:
- -5,000 FVU2 112-02.5, sell-though 112-02.75 post-time bid at 1009:14ET
- -7,500 TUU2 105-07.5, sell through 105-07.62 post-time bid at 1008:12ET
BONDS: EGB/Gilt - Some consolidation
Jun-07 14:13
- EGBs and Bund have continued to consolidate.
- Continued unwind in Govies, has not been too surprising after Bund fell for the past 8 sessions and German Yields recorded new multi year high overnight.
- Small resistance in Bund moved down to 149.78, which has so far held, did print a 149.82 high.
- Above the latter, opens to 150.07.
- Italy has been leading Europe higher, a continuation, following the FT piece yesterday:
- "The bulk of the 25 governing council members are expected to support a proposal to create a new bond-buying program if needed to counter borrowing costs for member states, such as Italy."
- Prop desk and Local have squared and short covered, and investors have likely favoured some receivers, parking cash into yields.
- Gilt has mainly traded inline with Bund, albeit, a small 1bp tighter in the Gilt/Bund spread.
