Free Trial

Month End/Quarter End

  • Bund tested yesterday's high 158.06 (printed 158.08), no new headlines.
  • More likely squaring, profit taking as we end the Month/Quarter end, following the massive fall in the contract this month.
  • Liquidity is still fairly low, light volumes.

MONTH END EXTENSION (Quarter End): Given the size of the extensions, unlikely to be a driver, since Extension duration are the most impactful in Bonds, as oppose to rebalancing flow.
Bloomberg Index Bond (latest):

  • US Tsys: +0.07yr (Small)
  • EU Govies: +0.07yr (small)
  • UK Gobies: 0.00yr (non even)

FX Citi:

  • Their estimate points to net USD selling against all major FX except JPY.
  • On asset rebalancing, their model suggests rotation away from equities and into bonds for month-end.

To read the full story

Why Subscribe to


MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.