admin June 29, 2017 No Comments

By Stephen Spratt

(Bloomberg) —

Date shows open interest jumped across German bond futures Tuesday, suggesting heavy new shorts added; the market sold off Tuesday after Draghi’s speech, with yields ending the day 6-12.5bps higher across the curve.

  • Combined increase in open interest totals almost EU11m/bp of new risk
    • Schatz +63,908 (EU1.4m/bp)
    • Bobl +61,691 (EU3.9m/bp)
    • Bund +32,500 (EU4.8m/bp)
    • Buxl +2,184 (EU690k/bp)
  • Worst performing country was Italy, which despite a 15bps rise in 10y yield saw open interest little changed, possibly reflecting a rise in short positioning being offset by a flush-out of popular carry trades
  • France 10y yield rose 13.5bps, while open interest in futures jumped 4,626, equivalent to around EU550k/bp in risk terms

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