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Significant moves higher as Covid-19 concerns compound


There has been a risk-off mood to markets opening this week with core fixed income higher, peripheral spreads wider while equities and oil are both lower. Concerns over how bumpy the roads out of lockdown will be are the main talking point this morning.

  • Looking at US Treasuries we are at key levels for a number of reasons: on the yield chart on a medium-term basis we have not traded below the 200-dma since November 2020 (which comes in at 1.2530%) nor have we yet closed below the 1.2882 Fibo level (the 38.2% retracement of the August 2020 to March 2021 rally). There is also support in yields at 1.2216% (the gap in mid-February). And on a short-term basis in futures, we are challenging to break out of the top of the bull channel.
  • Bund futures are similarly at their highest levels since mid-February while gilts are moving largely in line with Bunds rather than Treasuries and gilt futures remain below Thursday's highs.
  • Moves in fixed income are significant but much smaller than some of the comparable moves seen in FX ore equity markets.
  • TY1 futures are up 0-9 today at 134-02 with 10y UST yields down -3.1bp at 1.261% and 2y yields down -0.4bp at 0.219%.
  • Bund futures are up 0.28 today at 175.15 with 10y Bund yields down -1.3bp at -0.368% and Schatz yields down -0.2bp at -0.689%.
  • Gilt futures are up 0.15 today at 129.27 with 10y yields down -1.5bp at 0.611% and 2y yields unch at 0.112%.

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