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Expiries for Sep21 NY cut 1000ET (Source DTCC)

GERMAN AUCTION RESULTS

0% Nov-28 Bund

BONDS

EGB/Gilts - Better offered on the Equity bid

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  • Short Sterling fades off its worst levels, but the strip is still better offered following the UK inflation data.
  • The strip is bear steeper, with the front 1/1.5 down, and Red, Green, Blue, 2/2.5 ticks lower.
  • Most of the strip drifts at lowest levels since March 2020,
  • In terms of OIS, first 10bps hike is nearly fully priced for 1st quarter of 2022

Meetings --- Implied rate0

  • 09/23/2021: 0.052
  • 11/04/2021: 0.060
  • 12/16/2021: 0.069
  • 02/03/2022: 0.156
  • 03/17/2022: 0.178
  • 05/05/2022: 0.283
  • 06/16/2022: 0.288
  • 08/04/2022: 0.367