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Eurex Roll

BONDS
  • No surprises in seeing Eurex roll below pace, as desks favoured clearing the European data, still awaiting Portugal, Italy and EU prelim CPI.
  • Few spreads in Schatz and Bund are trading on legs, with close to a quarter of the front Month Volume in Schatz now spread related, a third for OATs.

Pace should start to pick up:

  • Buxl: 10%.
  • Bund: 11%.
  • Bobl: 8%.
  • Schatz: 8%.
  • BTP: 9%.
  • BTS: 10%
  • OAT: 12%.

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