Rolling position dominates volumes

EGBs have stayed higher throughout the afternoon session, with the EUR a big part of the driving force.

• EUR has extended its collapse, which was also exacerbated by broad base USD buying.
• Bund 30s, 10s, 5s and 2s future strip have also been helped with better buying of rolls, with a huge session regarding volumes.
• Bund front contract, all spread related, has traded close to 1 million contract at the time of typing, and the same can be said for the Schatz at 970k lots.
• Roll pace: Buxl (45%), Bund (48%), Bobl (42%), Schatz (47%), OAT (47%), BTP (36%), BTPS (34%).
• Semi core have kept up upside pace with Bund, and as such, peripheral spread have been mixed with best performer Italy, 2.1bps tighter, and Greece at the other end, 2.8bps wider.
• Bund futures are up 0.92 today at 176.64 with 10y Bund yields down -4.8bp at -0.469% and Schatz yields down -1.6bp at -0.698%.
• BTP futures are up 0.93 today at 147.62 with 10y yields down -6.9bp at 0.965% and 2y yields down -2.3bp at -0.141%.
• OAT futures are up 0.97 today at 168.63 with 10y yields down -6.0bp at -0.182% and 2y yields down -0.4bp at -0.622%.