IRAN: Pakistan Mediators Tout Positive Signals On Iran Talks - Al Mayadeen

• Following a heavy suite of conflicting messages from both sides of the US/Iran war (alongside Israeli military continuing to strike Tehran), Bund futures are +19 ticks at 125.45, down from a knee-jerk high of 126.05 but still comfortably above the sub-125.00 levels seen before Trump’s initial Truth Social post. Importantly, Friday’s 126.27 high was unchallenged, which keeps a bear cycle intact for now.
• The German 5s30s curve is up 2bps to 77bps, but remains below the ~90bp level seen at the start of last week.
• The 10-year BTP/Bund spread was pushing above 100bps before Trump’s post, but has since narrowed back to ~90bp at typing.
• ECB-dated OIS now price 71bps of hikes through year-end, down from ~90bps earlier this morning and also below Friday’s 79bp close. Although sensitivity incoming headline flow remains acute, markets will still be interested in the results of tomorrow’s March flash PMIs, in particular the input/output price components. 

Figure 1: Bund Futures (Source: Bloomberg Finance L.P)

• +5,000 FVM6 107-23.75, post time offer at 0757:46ET, DV01 $218,400.
• The 5Y contract trades 107-26.5 last, +.75

• US rates still see a fluid backdrop but have currently pared around half of very large earlier gains seen on the Trump post on a five-day pause in strikes on Iran power plants and energy infra, with the caveat coming from multiple reports of varying degrees of authenticity questioning whether there were talks.
• Fed Funds futures now see 12.5bp of cumulative hikes out to Oct vs 23bp shortly ahead of the post on Truth Social and via briefly pricing out hikes for the year.
• FF cumulative changes from 3.64% effective: +3bp Apr, +7bp Jun, +7.5bp Jul, +11bp Sep, +12.5bp Oct and +10bp Dec.
• SFRH7, the contract with heaviest losses in recent weeks, is back to unchanged on the day at 96.235 (+0.005) in a huge range of 96.055 to 96.370.
• The terminal implied yield of 3.465% (H8, -1.5bp) comes off fresh highs since early Apr 2025 but is still elevated (for example, 15bp higher than shortly before Wednesday’s FOMC decision).