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Moving off the highs of the week

BONDS
  • After the big moves of the week so far, core fixed income sits below yesterday's highs but moves have been relatively limited in the context of the wider week. USTs, Bunds and gilts all sit comfortably above yesterday's opening price. Part of the move looks like a retracement ahead of the weekend, while part is continued reaction to Fed's Waller comments yesterday.
  • The shorter-end has seen the biggest moves this morning with curves bear flattening.
  • Looking ahead, the highlights of the rest of the day are likely to be the inflation expectations component of the Michigan survey, an appearance by Fed's Goolsbee on CNBC and US import / export price data.
  • TY1 futures are down -0-10 today at 112-23+ with 10y UST yields up 3.0bp at 3.796% and 2y yields up 4.1bp at 4.676%.
  • Bund futures are up 0.10 today at 132.93 with 10y Bund yields up 1.3bp at 2.460% and Schatz yields up 4.2bp at 3.183%.
  • Gilt futures are up 0.20 today at 949.91 with 10y yields up 0.8bp at 4.425% and 2y yields up 1.9bp at 5.138%.

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