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Core FI curves diverging

  • After a strong start to the European trading session, core fixed income has moved off its highs. Curve moves have diverged, however, with the UST curve bull steepening, the gilt curve seeing a parallel move and the German curve bull flattening.
  • The risk-off nature of the move was largely triggered by further concerns about Covid-19 cases in China.
  • Looking ahead the main event of the day will be Bailey and three other FPC members testifying ahead of the Treasury Select Committee following the recent FSR.
  • TY1 futures are up 0-9 today at 117-29 with 10y UST yields down -2.0bp at 3.062% and 2y yields down -3.5bp at 3.074%.
  • Bund futures are up 0.56 today at 150.63 with 10y Bund yields down -5.0bp at 1.291% and Schatz yields down -4.6bp at 0.466%.
  • Gilt futures are up 0.19 today at 114.63 with 10y yields down -3.8bp at 2.193% and 2y yields down -3.8bp at 1.874%.

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