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German 5s/10s flattening

BONDS
  • Similar low liquidity in Europe as in the US, with most volumes below averages, and well below what we would expect from these contract.
  • Also take into consideration that these averages may look ok, but they include the last 7 session, which has seen liquidity disappear (besides yesterday).
  • As noted on the open the standout is the 5yr Bobl, which trades more than Bund.
  • Looking at the 5/10s, spread, it is drifting to the flattest level since the 28th February
  • Volumes averages vs last 15 days: Schatz 80%, Bobl 91%, Bund 68%, Buxl 58%, BTP 84%, OAT 73%

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