Bouncing From Lows, Key Support Intact In Futures

Gilts have bounced from lows after futures and 10-Year yields registered fresh ’24 extremes.

• Futures based at 97.45 before rebounding to trade around 97.80 at typing, 10 ticks lower on the day.
• Key support at the Dec 11 low (97.39) was not breached and bulls have quickly forced the contact back above the bear trigger (97.57), although benchmark 10-Year yields had a look through their Dec 11 high (topping out at 4.092%) before the pullback from extremes.
• Cash gilt yields are flat to 2.5bp higher on the day, bear flattening.
• SONIA futures are now +0.25 to -4.0, also rebounding from extremes.
• BoE-dated OIS now shows ~77bp of cuts through ’24, after a brief foray below ~75bp this morning. Digestion of comments from BoE hawkish dissenter Haskel helped the initial pay-side move and pull lower in gilts,, as did broader moves in core global FI markets. A reminder that late December saw the strip price in a little over 150bp of ’24 cuts at one stage.
• The local docket is essentially empty through the weekend, which will leave focus on cross-market and macro matters, discussions surrounding BoE pricing and next week’s tier 1 domestic data (labour market prints, CPI, retail sales, as well as GDP and monthly economic activity data).