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Core FI remains notably lower but volatility continues

BONDS
  • Core fixed income remains notably lower this morning, led by EGBs and a general bear flattening of curves. However, markets remain volatile. Schatz yields for example at the time of writing are 16bp higher on the day, but 14bp off the high of 2.704% seen shortly after the cash open (and still over 5bp above the intraday lows).
  • Bund futures fell around 120 ticks in overnight trading before falling a further 60 ticks in early European trading to a low of 135.78. We have since traded 100 ticks higher than that at 136.81 around 15 minutes ago and now are back close to the levels seen before Europeans got to their desks.
  • Similar, but smaller, moves have been seen in Treasuries while gilts have seen the curve move in a more parallel fashion again today (underperforming Treasuries, but outperforming Bunds).
  • TY1 futures are up 0-2 today at 115-06 with 10y UST yields up 2.9bp at 3.487% and 2y yields up 6.0bp at 3.951%.
  • Bund futures are down -1.17 today at 136.45 with 10y Bund yields up 10.4bp at 2.228% and Schatz yields up 16.2bp at 2.551%.
  • Gilt futures are down -0.66 today at 104.66 with 10y yields up 7.4bp at 3.391% and 2y yields up 7.6bp at 3.352%.
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