Monday, Bloody Monday... For European Bonds
Absolute bloodbath in Europe:
- Italian 10-Year Bonds Extend Drop; Yield Climbs to 6 Percent
- Spain 10-Year Bond Yield Surges to Euro-Era Record 6.31 Percent
And more from Bloomberg...
- Yield on 10-yr Treasuries slumped 2bps to 2.88% on haven bid as European peripheral spreads hit euro-era record high after digesting bank stress test results over the weekend.
- Mkt skeptical over outcome of Thursday’s special summit of top EU officials as Merkel indicates unlikely to attend unless deal is on, BNP note says
- 2/10 spread shrunk 3bps to 252bps, narrowest since December
- "We expect to see a floor in the 2/10 slope in the 250bps zone, with the possibility of a return to 265-270bps,” note from BBVA says
- Fed futures pricing 15% chance of Fed rate at 0.5% by April 2012 vs 14% a week ago, 22% a month ago
- 10-yr Treasury futures due September hit new high of 125.01 to imply 3.07% vs 3.09% on Friday
- Stay short 2-yr duration and remain weighted in 2/5s flatteners, Terry Bolton, strategist at JPM, writes in note
- Recommend FRA/OIS wideners outright as well as 2-yr swap spread narrowers, he adds
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