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The Monthly Banker: 4 May 2017

Latest Fixed Income Market Statistics (May 2017)

    

Benchmark Bond Futures

Instrument Close 1 Day 1 Week YTD
US 10 yr T-Bond Future 125.55 -0.16 -0.02 +1.92
UK Gilt Futures (cont) 128.31 +0.17 +0.13 +2.48
Euro 10yr Bund (cont) 161.69 n/c +0.42 -2.46
JGB (cont) 150.89 -0.08 -0.09 +0.63

 

 

10yr Benchmark Yields

Instrument Yield 1 Day 1 Week 12 Months
US 10yr Bond Yield 2.32% +0.03bp +0.02bp 0.52bp
UK 10yr Bond Yield 1.09% +0.00bp +0.00bp -0.51bp
Germany 10yr Bond Yield 0.33% +0.01bp -0.05bp 0.06bp
Japan 10yr Bond Yield 0.33% -0.01bp -0.08bp -0.27bp

 

 

Yield Curve

  3 month Bill 2-year 5-year 10-year 30-year
USD Gov 0.8586 1.2939 1.8519 2.3198 2.9689
Euro Gov 0.081 -0.246 -0.069 0.207 0.648
GBP Gov   0.435 1.119 1.088 2.261


Signals

Top 5 Gains.

Symbol Stock Close % Change
GSWISS10 Swiss 10yr Bond Yield -0.124 8.8%
USDRC 3-month USD LIBOR 1.52 +5.6%
USGG2YR US 2yr Bond Yield 1.2939 +2.5%
USGG5YR US 5yr Bond Yield 1.8519 +2.4%
USGG3M US 3m T-Bill Yield 0.8586 +1.8%

Top 5 Losses.

Symbol Stock Close % Change
BBVASM BBVASM CDS EUR SR 5Y Corp 84.8887 -5.1%
LLOY LLOY CDS EUR SR 5Y Corp 51.7757 -4.8%
DB DB CDS EUR SR 5Y Corp 104.67 -4.4%
ING ING CDS EUR SR 5Y Corp 49.4557 -4.3%
SANTAN SANTAN CDS EUR SR 5Y Corp 75.7427 -4.0%


P&F Breakouts: May 3, 2017.

None Found


MA Crossovers : May 03, 2017

Code Name Signal Latest Close Change
AEGON AEGON CDS EUR SR 5Y Corp Dead 91.91 -0.98
SOCGEN SOCGEN CDS EUR SR 5Y Corp Dead 60.80 -2.04