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Dragged Lower By Bunds Into London Trade

US TSYS

The NRW-CPI inspired move lower in Bunds weighs on Tsys as TYZ2 pulls cleanly through its Asia-Pac base, breaching 112-00 in the process, although yesterday’s cycle low of 110-19 remains some distance away.

  • Volume has jumped post NRW-CPI, with ~70K TYZ2 contracts trading in the ~30 minutes that followed the print.
  • Cash Tsys run 5-11bp cheaper across the curve, with the belly leading the cheapening as the wings lag.
  • London hours will be shaped by the Gilt market’s reaction to yesterday’s BoE purchases in the long end and the remainder of the German state, and eventually national, CPI data (with the national print due during the NY morning).
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The NRW-CPI inspired move lower in Bunds weighs on Tsys as TYZ2 pulls cleanly through its Asia-Pac base, breaching 112-00 in the process, although yesterday’s cycle low of 110-19 remains some distance away.

  • Volume has jumped post NRW-CPI, with ~70K TYZ2 contracts trading in the ~30 minutes that followed the print.
  • Cash Tsys run 5-11bp cheaper across the curve, with the belly leading the cheapening as the wings lag.
  • London hours will be shaped by the Gilt market’s reaction to yesterday’s BoE purchases in the long end and the remainder of the German state, and eventually national, CPI data (with the national print due during the NY morning).