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US TSYS SUMMARY: US Treasuries prices open NY Friday, month-end, yr-end
mainly higher, 30Y mildly weaker amid curve steepening. US Tsy/fincl futures
close 1pm ET, cash US bonds 2pm ET. Monday is New Year's Day holiday for bonds,
stocks, banks, and US govt offices.
- TOKYO: Tsys began steady/mixed, short end then gradually turned better bid
into UK amid light volume. US$/yen weakness spurred FX-tied bid, along with
month-end, qtr-end and yrend positions. Most Asian stocks indexes end higher;
Jpn's Nikkei up +19% for 2017 or 23.8% on US$; China CSI 300 +22% for yr (30% in
- LONDON: Tsys bid on mainly soft Europe stks, except FTSE-100. Bid for 2Y-10Y
but long end dips to new overnight low recently. BBG/Barclays adv Tsys index
mo-end extensn 0.07 yrs. German DAX +12.7% on yr, +28.5% in US$; UK FTSE-100
+7.5% on yr, 17.8% in US$.
- US SWAPS: Mostly wider, flatter, light flow; $47.1K DV01 3/5Y swap flattener.
- OVERNIGHT REPO: Final 2017 day, yrend "turn"; overnight repo has tighter Tsys
3Y, 5Y, old 5Y, 10Y. This wk's 2/5/7Y auctions settle early next wk.
GILT SUMMARY: Gilts have squeezed higher in late morning thin illiquid trade led
by the long-end, in-turn flattening the yield curve, despite slightly higher
than expected German regional flash inflation data.
- 10-yr Gilt yield at 10;13am ET is -0.7 bps at 1.187% at 10:13am et.
- The squeeze higher occurred just before 1100GMT and appeared across the curve
with front-end of the short sterling strip bought in decent size, but the
long-end rallied more due to lack of liquidity.
- The rally in nominal gilts has outperformed linkers by around 1 basis point
and therefore breakevens have tightened. While swaps spread have barely changed
so far today.
- In swaps there has been some activity, however this has been limited to a
5Y-10Y flattener and a 10Y-30Y steepener in small size.
EGB SUMMARY: German Bunds declined after digesting 1.6% yr/yr Dec. preliminary
Pan-German CPI/HICP, and 0.8% Mo/Mo. European core curves earlier pivoted
slightly with the Schatz yield a basis point lower and taking back some of the
recent rise but the 30Y is around 0.5bp higher.
- The month-end extension is relatively small today and this can explain the
lack of any push to curve flattening
- German State CPI data earlier pointing to a 0.6%M/M print in the pan-German
release. However, Spanish December HICP has come in weak. Details in the
Eurozone M3 report showed a continued improvement in lending.
- Peripheral EGB markets started underperforming early in the session. More
recently there has been news that the Spanish Citizens Party in Catalonia will
not attempt to form a coalition (despite being the largest Party) and so this
will leave the Separatists in charge. This should have been anticipated.
- The 10Y Bund yield is up 1.6 bps at 0.431%
- Eurex trading hours are unchanged today.
--MNI New York Bureau; tel: +1 212-669-6432; email: email@example.com