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Trading at intraday highs

  • EGBs and Bund continues to recover from their overnight lows, although volumes are very limited with plenty of European countries on holiday (Assumption day), Bund is trading in a 114 ticks range.
  • In peripherals, semi core are wider, while Italy leads, by 3.9bps against the German 10yr.
  • BTP/Bund spread has so far found support just ahead of 203.57bps, now at 207.8bps.
  • Gilt future underperforms Bund somewhat, but overall, the Yield spread, is trading close to flat (0.6bp tighter).
  • Volumes in Treasuries have also been subdued, 140k lots traded at the time of typing, and US curves lean bull flatter.
  • Looking ahead, there's no tier 1 data to start the week.
  • Notable data for this week, sees UK employment, Canada CPI, US IP (tue), UK CPI, EU GDP, US retail sales (wed), Australia employment, Norway GDP, EU final CPI (thu), Japan CPI, UK retail sales (fri).
  • Sep Bund futures (RX) up 77 ticks at 156.11 (L: 155.08 / H: 156.22)
  • Germany: The 2-Yr yield is down 2.7bps at 0.581%, 5-Yr is down 3.7bps at 0.718%, 10-Yr is down 4.8bps at 0.939%, and 30-Yr is down 5.5bps at 1.182%.
  • Sep Gilt futures (G) up 57 ticks at 116.54 (L: 115.94 / H: 116.64)
  • UK: The 2-Yr yield is down 1.7bps at 2.036%, 5-Yr is down 5.2bps at 1.879%, 10-Yr is down 5.5bps at 2.056%, and 30-Yr is down 6.6bps at 2.47%.
  • Sep BTP futures (IK) up 63 ticks at 127.92 (L: 126.91 / H: 128.05)
  • Sep OAT futures (OA) up 72 ticks at 145.14 (L: 144.25 / H: 145.25)
  • Italian BTP spread up 0.7bps at 209bpsSpanish bond spread unchanged at 111.1bps
  • Portuguese PGB spread down 0.1bps at 100.7bps
  • US 2-Yr yield is up 1.3bps at 3.255%, 5-Yr is up 0.2bps at 2.958%, 10-Yr is down 0.5bps at 2.8258%, and 30-Yr is down 1.1bps at 3.0964%.The Sep 22 T-Note future is up 5/32 at 119-13+, having traded in a range of 119-04+ to 119-14

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