EGBs were responding to economic data...>

EGB SUMMARY: EGBs were responding to economic data on Friday and in a logical

fashion. Thus, early releases of strong German State CPIs cause a sizeable leap

in the German 10Y yield from 0.529% to 0.586%. 

- Bund yields then bobbled around 0.58% until the US data were released. It was

the weak employment cost index that probably sat behind the majority of the

rally in Treasuries and Bunds. The Bund yield managed to make it back to around

0.553% by the end of Friday. 

- The curve bear steepened on net through the day, with the Schatz yield

unchanged at -0.674% and the 10Y up 1.8bp to 0.553%. Implied vols fell to their

lows; Sept ATM at 3.67%.

- The only peripheral market that was moving was Portugal, where a late surge of

PGB buying prompted a 5.5bp to 236bp, the lowest since Jan 2016.

- German Bunds outperformed swaps over the course of the swings. 

- Equity markets were also lower on the session and the euro traded firmer

against the dollar.