POWER: 1.1GW Forsmark 1 Nuclear Output Cut Rises to 552MW Through 2 January

The latest Tsy quarterly futures roll volumes for December'25 to March'26 outlined below. Percentage complete gradually rising ahead the "First Notice" date of Friday, November 28. Current roll details:

• TUZ5/TUH6 appr 210,200 from -6.0 to -5.62, -5.75 last; 7% complete
• FVZ5/FVH6 appr 453,100 from -2.75 to -2.25, -2.25 last; 13% complete
• TYZ5/TYH6 appr 70,600 from 1.5 to 2.0, 2.0 last; 12% complete
• UXYZ5/UXYH6 43,600 from 5.25 to 5.5, 5.5 last; 5% complete
• USZ5/USH6 27,500 from 13.0 to 14.0, 13.75 last; 9% complete
• WNZ5/WNH6 appr 147,800 from 9.75 to 10.25, 10.0 last; 7% complete
• Reminder, Dec'25 futures don't expire until next month: 10s, 30s and Ultras on December 19, 2s and 5s on December 31. Meanwhile, Dec'25 Tsy options will expire this Friday, November 21

• EUR/USD: $1.1500(E2.0bln), $1.1550(E559mln), $1.1600(E1.1bln), $1.1625-30(E1.8bln), $1.1675-80(E1.5bln)
• USD/JPY: Y150.00($1.3bln), Y155.00($1.4bln)
• GBP/USD: $1.3250(Gbp679mln)
• EUR/GBP: Gbp0.8750(E524mln)
• AUD/USD: $0.6500(A$737mln)
• AUD/NZD: N$1.1400(A$537mln)
• USD/CNY: Cny7.1080-89($2.0bln)

Underperformance for gilts vs. swaps extends further in recent trade, indicating increased fiscal and political risk premium in light of overnight reports questioning the long-term prospects of PM Starmer leading the Labour Party.

• The rally in wider risk assets will also be factoring in.
• 30-Year swap spreads now set for the lowest close since October 14, ~8bp off cycle closing highs registered in late October.
• Clean downside extension through the October 14 closing level (-85.77bp) would switch focus to the September closing low (-90.14bp).