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Euribor moving lower is the highlight of the session so far

  • The most notable moves in core fixed income this morning have been in the Euribor strip. There has been downward pressure since 7:45BST when French HICP data came out 3 tenths higher than expected. The moves lower for Euribor have continued despite the pan-Eurozone and Italian HICP prints coming in in line with expectations and the strip is up to 9.0 ticks lower, with the Jun-23 contract seeing the biggest move. Eurodollar and SONIA strips have moved a little lower in sympathy, but both are outperforming the Euribor strip.
  • Euribor futures have dragged Schatz yields higher, and we have also seen 2-year UST yields move higher this morning.
  • Bund futures started to move lower around 9:30BST/4:30ET - there was little data released at that time (in what has been a very busy data session), so it seems as though the moves lower in Euribor are pulling the whole German curve lower.
  • In the rest of the session we still have US PCE, personal income / spending, the MNI Chicago Business Barometer and the final print of Michigan confidence to be released.
  • TY1 futures are up 0-1 today at 119-12+ with 10y UST yields up 3.5bp at 2.860% and 2y yields up 4.9bp at 2.668%.
  • Bund futures are down -0.01 today at 154.14 with 10y Bund yields up 0.6bp at 0.904% and Schatz yields up 3.8bp at 0.232%.
  • Gilt futures are up 0.12 today at 118.97 with 10y yields down -1.5bp at 1.860% and 2y yields up 0.1bp at 1.536%.

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