U.S. Jobless Claims Reverse ECB Cheapening Impulse

Steady (when adjusted for revisions) U.S. initial jobless claims vs. expectations for a downtick lends support to Gilts futures after the initial ECB-derived cheapening move saw a more meaningful extension beyond the morning lows. That leaves the contract above pre-ECB levels, nearnough unchanged on the day, after a show below the bear trigger/June 13 low (the 94.00 figure remained intact/unchallenged).

• Cash Gilts are 7bp cheaper to 3bp richer, off session cheaps, as the curve continues to twist flatten. 10-Year Gilt yields have been unwilling to push meaningfully beyond the 5.45% yield mark thus far and last trade back at 4.40%.
• SONIA futures are back from their post-ECB lows on the back of the U.S. claims data, while BoE-dated OIS terminal rate pricing shows around 5.82-83%, after a look above 5.90% post-ECB.