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CPI, Plan B, retracement

BONDS

There has been some divergence in STIR futures markets this morning with the Eurodollar strip moving lower while the Euribor and short sterling strips have moved higher. However, for Bunds and Treasuries there has been a similar theme of curve flattening with the gilt curve seeing a parallel shift again.

  • The moves in Bunds/Treasuries are largely retracing some of the moves seen after yesterday's positive vaccine-related moves.
  • The Eurodollar strip is remaining under pressure ahead of tomorrow's CPI print and next week's FOMC meeting, where a faster pace of tapering is expected and which would potentially bring forward the first Fed hike.
  • The gilt and short sterling moves are continued reaction to yesterday's government announcement of the reintroduction of Plan B.
  • TY1 futures are up 0-2+ today at 130-09 with 10y UST yields down -2.2bp at 1.501% and 2y yields up 0.2bp at 0.684%.
  • Bund futures are up 0.50 today at 173.99 with 10y Bund yields down -3.1bp at -0.346% and Schatz yields down -0.8bp at -0.718%.
  • Gilt futures are up 0.29 today at 127.16 with 10y yields down -4.5bp at 0.729% and 2y yields down -4.9bp at 0.404%.

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