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USDJPY test session high


2Y, 3Y Midcurve Put Spds


(Z1) Extending Recent Gains


Sep 10Y Put Update

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Gilt and Treasuries curves are both bull flattening this morning, as the market continues to unwind some of the post-FOMC moves.

  • Gilts curves have flattened significantly, led by a rally in the long end. After expectations yesterday that the MPC may follow the Fed and become more hawkish, the market has reevaluated as retail sales disappointed this morning (hampering the consumer-led recovery story). An increase in the daily Covid-19 cases published yesterday afternoon of five figures for the first time since February is also weighing on sentiment (even though the weekly change has slowed from around 50% increases to 33% increases).
  • Other than this morning's UK retail sales data, the calendar is pretty light today. Markets will be watched closely to see if there is any position-squaring ahead of the weekend.
  • TY1 futures are up 0-5+ today at 132-06 with 10y UST yields down -1.7bp at 1.490% and 2y yields down -0.2bp at 0.209%.
  • Bund futures are up 0.13 today at 172.57 with 10y Bund yields down -0.4bp at -0.201% and Schatz yields down -0.2bp at -0.675%.
  • Gilt futures are up 0.28 today at 127.61 with 10y yields down -1.1bp at 0.764% and 2y yields up 0.9bp at 0.120%.