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Bulk Of Early Rally Sticks, 98.00 Caps Futures

GILTS

UK gilts have moved off firmest levels of the day, with 98.00 capping the bid in futures for now, although the space remains underpinned.

  • A quick reminder that a bid on the back of a soft run of domestic retail sales data developed further owing to technical breaks and a wider bid in core global FI markets (more details have been outlined elsewhere).
  • Gilt futures have broken various key resistance levels. Fresh upward momentum and a break of 98.00 would expose a bit of a technical vacuum, with little then seen until the May 22 high (98.98).
  • 10-Year gilt yields are now below 4.50%, with wider cash gilt yields 8-10bp softer on the day.
  • SONIA futures are -0.5 to +7bp, twist flattening, with the greens outperforming.
  • BoE-dated OIS sits little changed to 10bp softer on the session, with late ’24 MPC contracts coming under the most pressure within liquid contracts.
  • The space prices a mere ~10% chance of one further hike in the cycle. Beyond the next couple of meetings, the first 25bp cut is now more than fully discounted come the end of the June MPC, with a cumulative 85bp of cuts showing for ’24 on the whole, registering fresh recent dovish extremes earlier in the day.
  • BoE speak headlines the data docket into the weekend, although both Ramsden and Greene (the scheduled speakers) spoke as recently as yesterday.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Dec-235.210+2.3
Feb-245.211+2.4
Mar-245.143-4.4
May-245.020-16.7
Jun-244.904-28.3
Aug-244.756-43.1
Sep-244.611-57.6
Nov-244.457-73.0
Dec-244.336-85.1
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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