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

GILTS

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.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Sep-244.867-8.3
Nov-244.662-28.8
Dec-244.526-42.4
Feb-254.335-61.6
Mar-254.197-75.3
May-254.032-91.8
Jun-253.940-101.0
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
Bank Of England (BOE) Market NewsHomepageBond Market NewsBulletMarketsFixed Income Bullets
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
Bank Of England (BOE) Market NewsHomepageBond Market NewsBulletMarketsFixed Income Bullets

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