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EGBs and gilts off lows after ECB BLS

  • EGBs and gilts opened lower this morning, catching up with some of the moves seen in Treasuries yesterday. However all core fixed income has moved above the levels seen on the European open following the ECB's Bank Lending Survey. Markets are pricing just over 28bp for this week's ECB meeting, slightly above Friday's closing level but below the almost 30bp seen earlier this morning.
  • This morning also saw the release of Eurozone inflation, with core CPI in line with expectations at 5.6%Y/Y (down from 5.7% last month) and headline CPI picking up marginally from 6.9% to 7.0%Y/Y, marginally above expectations. Italian HICP in contrast, was much higher than expected.
  • Looking ahead we have both JOLTS and factory orders data from the US as well as the final print of durable goods due for release. These come ahead of tomorrow's FOMC policy decision and Thursday's ECB decision.
  • TY1 futures are up 0-10+ today at 114-26+ with 10y UST yields down -4.5bp at 3.525% and 2y yields down -3.0bp at 4.114%.
  • Bund futures are down -0.50 today at 135.06 with 10y Bund yields up 5.0bp at 2.360% and Schatz yields up 7.0bp at 2.745%.
  • Gilt futures are down -0.48 today at 100.98 with 10y yields up 4.9bp at 3.764% and 2y yields up 4.3bp at 3.811%.

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