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EGB/Gilt - Gilt rolls picking up pace

BONDS
  • EGBs and Bund have stayed within the early European trading session's ranges.
  • Most of the street wait for Fed Powell tomorrow.
  • Peripherals have unwound some of yesterday's price action, with spread moving tighter today.
  • Italy and Greece are in the lead, by 7.4 and 5.5bps respectively.
  • Gilt future outperform Bund, which has in turn pushed the Gilt/Bund spread 4.1bps tighter, at 128.3bps, after it made an attempt the March and 2022 high 133.16 yesterday.
  • Gilt sees over half the front month volume spread related, with desks taking advantage of some of the liquidity, ahead of the UK Bank Holiday on Monday.
  • Roll pace is now at 68%.
  • Looking ahead, tomorrow sees, FR/IT cons conf, US Wholesale Inventories, PCE core deflator, final Michigan, and of course Fed Powell at JH.
  • Sep Bund futures (RX) up 46 ticks at 150.72 (L: 150.02 / H: 150.96)
  • Germany: The 2-Yr yield is down 5.5bps at 0.866%, 5-Yr is down 6.7bps at 1.091%, 10-Yr is down 3.4bps at 1.336%, and 30-Yr is up 1.5bps at 1.519%.
  • Sep Gilt futures (G) up 58 ticks at 111.27 (L: 110.52 / H: 111.36)
  • UK: The 2-Yr yield is down 14.3bps at 2.795%, 5-Yr is down 13bps at 2.573%, 10-Yr is down 7.6bps at 2.622%, and 30-Yr is down 4bps at 2.894%.
  • Sep BTP futures (IK) up 133 ticks at 122.8 (L: 121.37 / H: 122.97)
  • Sep OAT futures (OA) up 45 ticks at 140.26 (L: 139.62 / H: 140.46)
  • Italian BTP spread down 9.5bps at 222.3bps
  • Spanish bond spread down 3.5bps at 116.2bps
  • Portuguese PGB spread down 3.1bps at 105.8bps
  • Greek bond spread down 5.7bps at 256.8bps
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