BOE Digestion Continues

Gilts continue to lead core fixed income higher with Bunds also above yesterday's highs but Treasuries largely in line with yesterday's highs.

• The market continues to adjust to yesterday's BOE decision to leave rates on hold and push back on market rate expectations. The short sterling strip is continuing to move a bit higher but Eurodollar and Euribor strips have stabilised somewhat.
• Today's Agency Briefing by Ramsden and Pill will be closely watched (although it is unclear whether they will have to speak for the Committee rather than convey their personal views).
• We also have the US employment report. Nonfarm payrolls are expected to come in at 450k on the Bloomberg survey, but there is a large range of forecasts.
• TY1 futures are down 0-0+ today at 131-09+ with 10y UST yields down -0.5bp at 1.524% and 2y yields up 0.7bp at 0.433%.
• Bund futures are up 0.24 today at 170.45 with 10y Bund yields down -1.4bp at -0.241% and Schatz yields up 0.1bp at -0.757%.
• Gilt futures are up 0.45 today at 126.52 with 10y yields down -4.0bp at 0.897% and 2y yields down -4.6bp at 0.432%.