Cheaper Ahead Of BoE, Markets Tilt Slightly More towards A Hike At Midday

Gilt futures head into the BoE decision off session lows, sub-96.00, but still comfortably above pre-CPI levels.

• Technically, futures have recovered from this week’s low and yesterday, breached resistance at 96.49, the Sep 14 high. The break of this hurdle confirms a resumption of the bull cycle that started Aug 17 and this opens the 97.00 handle. Key short-term support has been defined at Monday’s 94.64 low. A reversal lower and a break of this support would threaten the bullish condition and expose 94.05, the Sep 11 low.
• Cash gilts run 4.0-6.5bp cheaper.
• As noted elsewhere, BoE-dated OIS pricing leans slightly more towards a hike than no move at midday (~56% odds of a hike showing), partially aided by the digestion of the FOMC decision.
• SONIA futures are 3-8bp cheaper, with the reds seeing the most weakness.
• We have written plenty re: the BoE decision, and reference those posts if you would like to get a more definitive briefing of the event.