The bond market was mostly suffering....>

EGB SUMMARY: The bond market was mostly suffering from the Senate tax resolution

vote on Friday and simple lack of buyers. Proximity to the ECB taper

announcement next Thursday was not given as a driving force but rather a risk-on

movement. 

- A large macro hedge fund was said to have hit the 5Y Obl in the morning. Algos

had mostly gotten long in the days following the Reuters report about a 9 month

extension to the ECB's APP. Momentum signals proposed exiting and this created

considerable downside momentum over the course of the day. To confirm this

picture of a destruction of longs, open interest data will be scrutinised when

released early next week.

- While German contract selling developed, the peripheral market largely held

its ground so that the Bund-BTP spread tightened 3.8bp to a two month low of

160bp.

- There was very little news from Spain, other than the central government

desire to have Catalan elections in January. 

- The Bund yield went into the close +5.1bp at 0.446%.