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Big sell-off

  • Core bond markets are under a lot of pressure this morning with Treasury yields with US and gilt 10-year yields both moving markedly higher and reaching their highs since March 2020.
  • Indeed, at the time of writing 10-year UST yields are almost 8bp higher on the day with markets focusing on the better economic outlook with little pushback from the Fed yesterday.
  • Looking ahead, the main event of the day will be the Bank of England with the Monetary Policy Summary and Minutes due for release at midday GMT/8am ET. The market will watch closely whether the MPC views the positive news on the economy as outweighing the tightening of financial conditions and whether there is any pushback on either money market pricing (likely) or longer-term gilt yields (unlikely). Communication regarding the pace of asset purchases will also be closely watched.
  • TY1 futures are down -0-23+ today at 131-11+ with 10y UST yields up 7.5bp at 1.720% and 2y yields up 0.6bp at 0.140%.
  • Bund futures are down -0.21 today at 170.87 with 10y Bund yields up 1.7bp at -0.275% and Schatz yields up 0.2bp at -0.687%.
  • Gilt futures are down -0.37 today at 127.23 with 10y yields up 3.8bp at 0.866% and 2y yields up 0.1bp at 0.105%.

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