Off Lows, Tsys Driving Things After NFPs, Recent Ranges Intact

Gilts follow U.S. Tsys in the wake of the firmer-than-expected NFP release and ‘strong’ unrounded AHE numbers, initially selling off before recovering from worst levels.

• Gilt futures last -44 at 98.62 (98.31-99.15 range).
• Both 10-Year gilts and Tsy futures fail to challenge this week’s lows, leaving familiar bearish technical backdrops in play, albeit while operating in their established ranges.
• Cash gilt yields last ~3bp higher across the curve.
• SONIA futures trade in a similar manner, last flat to -4.0, while BoE-dated OIS shows ~71.5bp of cuts through year end, after a look below 70bp post-data.
• Local headline flow has been very limited today, leaving wider macro matters at the fore.
• Geopolitical risk may limit participants’ willingness to hold shorts over the weekend.
• The release of the highly anticipated Bernanke report re: BoE forecasting is due next Friday, with the monthly economic activity data and BoE speak from Breeden and Greene also due next week.
• Expect further colour on those matters next week.