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Month End/Quarter End

MONTH-END EXTENSIONS
  • 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.

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