EGB/GILTS SUMMARY

EGBs have traded within this morning ranges, with spread dominating volumes.

• More than half of the front month volume is now spread related.
• This is likely to continue, with most expected to be done before the US NFP Friday.
• Peripherals are a touch tighter against the German 10yr, and Italy continue to lead, by 2.1bps.
• Gilts have faded from the lows, with some pressure emerging in the Pound. UK Manufacturing PMI miss this morning and concerns voiced by leading scientists of a possible 3rd wave fueled by the Indian variant (Delta variant) if restrictions lockdown are eased on the 21st June.
• Looking ahead, BoE Bailey and Fed Brainard are the speakers left for the session
• Bund futures are down -0.05 today at 169.89 with 10y Bund yields up 0.8bp at -0.180% and Schatz yields up 0.3bp at -0.666%
• BTP futures are up 0.34 today at 147.66 with 10y yields down -1.4bp at 0.894% and 2y yields down -1.0bp at -0.338%
• OAT futures are up 0.01 today at 160.44 with 10y yields up 0.6bp at 0.174% and 2y yields down -0.2bp at -0.652%
• Gilt futures are down -0.28 today at 127.99 with 10y yields up 3.0bp at 0.824% and 2y yields up 0.8bp at 0.065%.