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• In the FI space, Bund futures remain in a bull cycle for now, despite this week’s pullback. Price has recently cleared both the 20- and 50-day EMAs. The break higher confirms a resumption of the corrective bull cycle that started Jan 14. A continuation higher would open 133.73, 50.0% of the Dec 2 - Jan 14 bear leg and the next important resistance. Firm short-term support to watch has been defined at 131.00, the Jan 16 / 24 low. First support is at 131.85, a trendine drawn from the Jan 15 low.
• A bull cycle in Gilt futures remains in play for now, and the latest pullback is considered corrective. Last week’s extension has reinforced current conditions. The contract has traded through 93.09, the Dec 20 high, and breached 93.64, the 61.8% retracement of the Dec 3 - Jan 13 bear leg. Sights are on the 94.75, the 76.4% retracement. Initial firm support lies at 92.63, the 20-day EMA.

OI data points to a mix of short setting and long cover in Euribor futures on Tuesday, with futures selling off sharply alongside core FI amid heavy sovereign supply.

• The largest OI swing was seen in the whites (-33k), with indicative net long cover seen in M5 (-25k) and Z5 (-13k) contracts.
• The -25k OI swing in M5 almost fully unwound the +26k added on Monday (where net long setting was observed).

SONIA FIX - Source: BBG/ICE

• 1M 4.46340 -0.0011
• 3M 4.43510 0.0041
• 6M 4.32150 0.0072
• 12M 4.17330 0.0174