Bull Steepening Holds

Futures just off early session highs, with dovish feedthrough from BoE Governor Bailey’s interview with the FT dominating.

• Gilt futures and cash yields stick comfortably within yesterday’s ranges.
• Futures last +26 at 99.59 (99.41-63 range.)
• Bulls will look to force a break of yesterday’s high in futures (99.91) and 100.00, which would allow them to focus on more meaningful resistance.
• Cash guilt yields are 3.5-5.0bp lower, curve bull steepens.
• 2s10s moving back towards late Feb highs, while 5s30s moves to steepest seen since early Feb.
• SONIA futures flat to +4.0.
• BoE-dated OIS shows 80.5bp of ’24 cuts.
• GBP STIR a little off dovish session extremes.
• The DMO’s FQ2 operational calendar didn’t provide much in the way of surprises.
• Lower tier UK data is due ahead of the weekend, with already released retail sales data not as soft as expected and the monthly GfK survey pointing to households having a more positive opinions re: their financial situation.
• The BoE will announce its Q2 APF sales schedule later today. Our full expectations are outlined on page 3 of this document.