From bottom (most expensive) to top 10Y government bond yields. Germany, France, Spain, Portugal, Italy, Greece. The pairing that stands out is Italy and Greece.
The German 10/5 curve feels like it will continue to flatten. Looking visually at the chart there is a break in co-dependence between the 10/5 curve and German 10Y. I haven't looked at any auto-correlation dependency but there is some degree of serial correlation. A possible strategy would be a curve flattener with a slightly +ve DV01. Note above is purely an...
Looking at core EGB 10Y yields they look boring. Even though historically they have been low beta and relatively stable in the past, spreads have blow up (e.g. 2011/2012). What seems interesting is that given the slow down in EU economy and the pace of incoming QE spreads feel cheap. As always using Germany as the index I seeing resistance around -25 (bp) however...
10Y yields seems to be range bound. Perhaps -50 to -60. Feels like that will be the range until we see more numbers. But certainly feels like there is more to go. An EU slow down is priced in to some extent but there are still geo-political head winds to face going into the Q4. The 5/10 seems a little more trend driven and certainly there is potential for more...
Interesting to see how bunds have sold off last week. Clearly a little reversion but has much has changed? Are the attempts to stimulate global economic growth going to work? It still feels like at these levels its a buy. Selling off above -60 should be interesting.
Feels like the US 5/10 is a little more steeper on the back of Jackson hole fed members implying that Fed has not changed opinion to negative sentiment.
Well Germany 10Y@-70bp was faster than I thought. I guess the saying of "Never sell Bunds is true". I am sure there is a retraction. I think that would just be an signal to buy more.
Looks like the German economy is contracting. Surly ECB will take a dovish tone going forward. I think -70 easily but can we -100bp this year?
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