Bear Flattening In Play, Futures Look Through Initial Support

Gilt futures come under some pressure at the re-open, following the global core FI tone observed since Friday’s close, in addition to the bid in crude oil futures post-OPEC+ (which has faded notably from extremes). The contract last shows -65 or so, after looking below initial technical support at the Jun 1 low. A clean break there would open the May 30/26 lows (94.91/21), with the latter representing the bear trigger.

• Bear flattening is evident on the Gilt curve, as benchmarks run 4-6bp cheaper on the day.
• Fitch affirmed the UK at AA-; Outlook Negative after hours on Friday.
• Final services PMI data presents the highlight of today’s (and this week’s limited) domestic data docket.
• BoE-dated OIS last shows a terminal policy rate of just over 5.50%, incrementally firmer on the day, after FOMC-pricing dynamics helped bias BoE pricing higher into the weekend.
• The reds lead the cheapening on the SONIA futures strip, with implied rates moving as much as 11bp higher vs. Friday’s closing levels at typing, sitting just off session extremes, in line with Gilts.
• Expect our latest Gilt Week Ahead note to be published later today.