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The Monthly Banker: 14 June 2017
Fixed Income Market Statistics (June 2017)
    

Benchmark Bond Futures

Instrument Close 1 Day 1 Week YTD
US 10 yr T-Bond Future 126.61 +0.05 -0.41 +2.98
UK Gilt Futures (cont) 129.01 -0.61 -0.50 +3.18
Euro 10yr Bund (cont) 164.93 -0.17 +2.01 +0.78
JGB (cont) 150.44 -0.08 -0.30 +0.18

 

 

10yr Benchmark Yields

Instrument Yield 1 Day 1 Week 12 Months
US 10yr Bond Yield 2.21% -0.00bp +0.07bp 0.60bp
UK 10yr Bond Yield 0.97% -0.04bp -0.07bp -0.27bp
Germany 10yr Bond Yield 0.25% -0.02bp -0.04bp 0.23bp
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 0.9961 1.3633 1.7813 2.2092 2.864
Euro Gov 0.081 -0.246 -0.069 0.207 0.648
GBP Gov   0.435 1.119 0.967 2.261


Signals

Top 5 Gains.

Symbol Stock Close % Change
GAGB10YR Austrian Gov 10yr Bond Yield 0.54 +2.3%
FTR8.5 Frontier Communications 8.5% 04/15/2020 104.75 +1.7%
RUSSIA Russia CDS USD SR 5Y 159.343 +1.7%
GFRN10 France Govt 10Yr Yield 0.608 +1.7%
GERMAN German CDS USD SR 5Y 15.5199 +1.0%

Top 5 Losses.

Symbol Stock Close % Change
ALZ ALZ CDS EUR SR 5Y Corp 28.4542 -8.6%
SWISSRE SWISSRE CDS EUR SR 5Y Corp 37.7842 -6.3%
BBVASM BBVASM CDS EUR SR 5Y Corp 73.5462 -4.7%
SANTAN SANTAN CDS EUR SR 5Y Corp 65.0838 -4.5%
ASSGEN ASSGEN CDS EUR SR 5Y Corp 105.655 -4.3%


P&F Breakouts: Jun 13, 2017.

Symbol Name Signal Signal
Price
Price
Objective
Stoploss Latest
Close
DB DB CDS EUR SR 5Y Corp Bear 96.00 88.00 104.00 94.7845
ISPIM ISPIM SPA CDS EUR SR 5Y Corp Bear 116.00 98.00 136.00 117.433
LLOY LLOY CDS EUR SR 5Y Corp Bear 50.00 43.00 58.00 49.4918