Weakness Extends Post-NFPs

The move lower in gills that came on the back of the previously flagged comments from BoE chief economist Pill see a notable extension on the U.S. NFP data, with futures through yesterday’s worst levels to trade as soft as 99.17 before recovering to the 99.35 area last.

• Cash gilt yields run 7.5-15.5bp higher on the day. 5s remain under the most pressure as the curve bear flattens.
• That vear flattening is aided by the move in the STIR space, with SONIA futures last showing a little off session lows but still printing as much as 19.0bp lower on the day in the reds.
• BoE-dated OIS shows ~98bp of cuts vs. ~104bp pre-NFPs.