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MONTH END

CROSS ASSET

Hard to ascertain how much has already been done, or if any, given the huge volumes of late.

  • For EGBs, would suspect to see an underlying bid going into 16.15GMT

MONTH END EXTENSIONS:

  • BARCAP Govies:
  • US Tsys: +0.13yr (LARGE)
  • EU Pan: +0.07yr (Small, average)
  • Sterling: +0.03yr (tiny)

Citi Govies

  • EGB: +0.11yr (Decent. Large)
  • Sees most support for Italy and Spain

Citi Equities:

  • Sees rebalancing needs out of Equities into Bonds
Citi FX:
  • Sees net USD selling need into the close

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