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EGB/Gilt - Gilt rolls dominates

BONDS
  • EGBs have pared some of their losses seen during the morning price action.
  • Bund is now trading at the upper end of the range, underpinned, following the US PMIs miss.
  • Peripheral are mostly flat against the German 10yr.
  • But Italy is the standout, after widening 2.9bps o the session.
  • BTP/Bund spread is now at widest levels since the 30th of July.
  • Price action in Gilts has been dominated by desk staring to roll their September positioned into December.
  • Half of the front month volume is spread related.
  • Gilt roll pace is now at 13% vs 8% at 10.00BST.
  • We have nothing left on the calendar, and investors await Fed Powell at 10.00ET/15.00BST on Friday.
  • Gilt futures are down -0.17 today at 130.12 with 10y yields up 1.6bp at 0.538% and 2y yields up 1.7bp at 0.112%.
  • Bund futures are down -0.21 today at 176.94 with 10y Bund yields up 1.4bp at -0.482% and Schatz yields up 0.1bp at -0.754%.
  • BTP futures are down -0.62 today at 154.71 with 10y yields up 4.6bp at 0.591% and 2y yields up 2.0bp at -0.490%.
  • OAT futures are down -0.20 today at 162.49 with 10y yields up 1.4bp at -0.136% and 2y yields down -0.1bp at -0.734%.
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