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Post-Data Treasury Swings Spill Over

GILTS

Post-data swings in U.S. Tsys have been at the fore when it comes to recent gilt trade, with nothing in the way of meaningful domestic inputs evident. That leaves gilt futures -55 at 96.20, a little above recent session lows.

  • A quick reminder that there is little in the way of meaningful nearby technical support in the contract, given the scope of yesterday’s rally.
  • Cash gilts yields are 1.5-5.5bp higher across the curve, with 10s cheapening the most.
  • When it comes to butterfly structures, 20s have moved off multi-month cheaps on the 10s20s30s fly in recent sessions, but that move hasn’t extended today.
  • SONIA futures come under some bear steepening pressure alongside the pressure in wider core global FI, sitting as much as 6.5bp softer through the blues.
  • BoE-dated OIS is 1bp lower to 3bp firmer on the day.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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