April 30, 2024 09:29 GMT
A Little Softer, Outperforming Bunds
GILTS
The slightly firmer-than-expected Eurozone core CPI release and presence of the July-29 gilt auction apply some pressure in recent trade, although gilts still outperform Bunds across the curve.
- Futures remain comfortably within yesterday’s range, last -20 at 96.29 (96.24-96.50 range).
- The contract’s bearish technical backdrop remains intact. The recent recovery has not threatened initial resistance levels, while moving average studies have crossed into bear mode.
- Initial meaningful support is seen at the April 25 low (95.36), some distance from prevailing levels.
- Cash gilt yields are ~1bp higher across the curve on the day.
- Note that the upsizing of the gilt auction (coinciding with the launch of a new line) skews the cover ratio lower when looking at comparables, while the tail was wider than that seen at the previous 5-Year offering (as we suggested ahead of the auction).
- SONIA futures generally track gilts lower, last +0.5 to -3.5 through the blues.
- BoE-dated OIS shows ~43bp of ’24 cuts vs. ~46bp early today.
- The BoE will publish its quarterly APF report at 12:00 London.
BoE Meeting | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
May-24 | 5.203 | +0.3 |
Jun-24 | 5.122 | -7.8 |
Aug-24 | 5.002 | -19.8 |
Sep-24 | 4.939 | -26.1 |
Nov-24 | 4.836 | -36.4 |
Dec-24 | 4.767 | -43.3 |
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