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GILTS: Under Pressure Following NFPs, But Sell Off Fails To Challenge Thurs Lows

GILTS
CEEMEABulletUKMarketsFixed Income Bullets

Gilt futures fail to retest yesterday’s low as the U.S. NFP release triggers fresh selling and hawkish repricing in core global FI markets.

  • U.S. Tsys off lows in more recent trade.
  • Gilts recovered from worst levels a little before, perhaps owing to the fact that the data points to continued U.S. economic outperformance, as opposed to a more structural source of bearish pressure for core global FI markets.
  • Gilt futures as low as 98.12 before a recovery to ~89.40, yesterday’s low sits at 89.00.
  • Yields 4-5bp higher on the day, yesterday’s highs intact across the curve.
  • 5s30s on track for another cycle closing high, although the July ’24 intraday high (87.5bp) remains intact.
  • Spread to Bunds ~1.5bp wider on the day at 225.5bp, modest widening seen since the data.
  • BoE-dated OIS prices ~45bp of cuts through year-end after a move towards ~42bp of cuts. Yesterday’s extreme of ~39bp untested.
  • SONIA futures 0.5 to 6.5 lower, recovering from lows alongside gilts, yesterday’s lows untested.
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Gilt futures fail to retest yesterday’s low as the U.S. NFP release triggers fresh selling and hawkish repricing in core global FI markets.

  • U.S. Tsys off lows in more recent trade.
  • Gilts recovered from worst levels a little before, perhaps owing to the fact that the data points to continued U.S. economic outperformance, as opposed to a more structural source of bearish pressure for core global FI markets.
  • Gilt futures as low as 98.12 before a recovery to ~89.40, yesterday’s low sits at 89.00.
  • Yields 4-5bp higher on the day, yesterday’s highs intact across the curve.
  • 5s30s on track for another cycle closing high, although the July ’24 intraday high (87.5bp) remains intact.
  • Spread to Bunds ~1.5bp wider on the day at 225.5bp, modest widening seen since the data.
  • BoE-dated OIS prices ~45bp of cuts through year-end after a move towards ~42bp of cuts. Yesterday’s extreme of ~39bp untested.
  • SONIA futures 0.5 to 6.5 lower, recovering from lows alongside gilts, yesterday’s lows untested.