U.S. Data Sees Futures Test First Support, Curve Flips To Bear Steepening

Gilt futures move to the lowest level of the week following the weekly U.S. jobless claims data

• Bears fail to force a meaningful break of initial support at the June 21 high (99.23) on the first test, registering a low of 99.20 before the contract recovers to 99.35.
• Cash gilt yields are little changed to 2bp higher across the curve, with this morning’s bull steepening morphing into bear steepening.
• Hawkish adjustments seen in BoE-dated OIS given the post-data move in Fed pricing, leaving ~8bp of BoE cuts priced for September and ~42bp of easing showing through year end vs. ~10bp & ~46bp pre-data.