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Recovering From NFP-Induced Session Lows, Initial Technical Support Was Breached In Futures

GILTS

Gilts understandably take cues from U.S. Tsys in the wake of the U.S. NFP release, initially selling off as markets looked to the headline numbers (with a likely element of some of the weaker longs set in recent sessions being forced to close positions).

  • Initial technical support for futures, in the form of the Dec 6 low (97.66) was breached, with the contract basing at 97.43.
  • The assessment of the totality of the U.S. data, coupled with scrutiny of some of the unrounded releases, allowed the contract to recover to the 98.00 area (relatively little changed vs. pre-data levels), before fading to 97.85 last.
  • Cash gilts run 5-9bp higher on the day, with the curve bear steepening.
  • 10-Year yields print as high as 4.082% after the relatively shallow showing below 4.00% during recent sessions, last showing at 4.04%
  • SONIA futures are flat to 6bp softer on the day, recovering from post-data lows alongside bonds.
  • BoE-dated OIS is little changed to 2bp firmer on the day through ’24 MPC contracts.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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