The much-awaited Yellen speech was a....>

EGB SUMMARY: The much-awaited Yellen speech was a big disappointment for the

market, as it did not address monetary policy. Treasuries, Bunds etc rallied

strongly in the aftermath of the speech because when waiting for a balance sheet

shrinkage, no news is good news...at least for bulls. 

- Prior to Yellen, EGBs had been on the back-foot, not because of any specific

news but mostly down to flows. BTPs also performed strongly as the market

started to price in the decent redemption/coupon flows. For a good chunk of the

trading session, Spanish debt was underperforming Germany at the same time as

the Italian 10Y was compressing it spread.

- Just before lunch, there was a 14k seller of the Obl contract that dragged the

entire yield surface higher at least temporarily. Swap flows we observed

suggested that the trade was done against swaps. Indeed, German debt

underperformed libor and OIS swap curves over the course of the day.

- By close of play, the 10Y Bund yield was 1bp higher at 0.385%, with a 0.5bp

steepening of 10-30Y Germany worthy of mention.