What will the ECB say about yields?

Core fixed income started on the front foot this morning, but the rally has since stalled a little, although Treasuries, Bunds and gilts all remain at their highest levels for a week.

• Perhaps the more interesting move has been seen in European peripherals, however, with BTP futures moving to their highs of the month ahead of today's ECB policy decision.
• Focus will very much be on how the ECB responds to the increase in yields since the last meeting. Indeed, in some respect the increase in yields is a bigger question for the market right now than the immediate impacts of Covid-19 on the economy. The ECB will unveil its new staff projections but the Q&A is likely to revolve around how the ECB will adapt the pace of its PEPP programme in different market conditions.
• TY1 futures are up 0-10+ today at 132-27+ with 10y UST yields down -2.7bp at 1.493% and 2y yields down -0.9bp at 0.146%.
• Bund futures are up 0.16 today at 171.48 with 10y Bund yields down -0.7bp at -0.322% and Schatz yields up 0.5bp at -0.683%.
• Gilt futures are up 0.11 today at 128.92 with 10y yields down -0.6bp at 0.707% and 2y yields up 0.1bp at 0.063%.