GILTS: Off Lows After Construction PMI & BoE DMP
Gilts have recovered from session lows in the wake of the much softer-than-expected construction PMI data and soft employment signals from the BoE DMP survey (outlined in the previous bullet).
- Futures recover to 91.55 from lows of 91.38.
- Bulls remain in technical control at this stage, initial support and resistance located at 90.87 and 91.93, respectively.
- Yields flat to 1bp lower, with the wings of the curve outperforming intermediates.
- SONIA futures also off lows, last +1.0 to -0.5 across the liquid contracts.
- BoE-dated OIS still pricing ~22bp of easing for this month’s meeting.
BoE Meeting | SONIA BoE-Dated OIS (%) | Difference vs. Current Effective SONIA (bp) |
Dec-25 | 3.752 | -21.9 |
Feb-26 | 3.682 | -29.0 |
Mar-26 | 3.593 | -37.8 |
Apr-26 | 3.484 | -48.7 |
Jun-26 | 3.430 | -54.1 |
Jul-26 | 3.361 | -61.0 |
Sep-26 | 3.343 | -62.8 |
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US TSY FUTURES: TU Blocked
Latest block trade lodged at 09:41:31 London/04:41:31 NY:
- TUZ5 13,210 lots blocked at 104-05.875, looks like a buyer. Initial block of the same volume at 104-05.75 appears to have been cancelled.
- DV01 ~$500K.
