Cheaper On The Day But Off Worst Levels

Gilt futures have maintained the bulk of their really from session lows (99.76) to last trade -60 or so at 110.05, around the middle of its 47-tick session range.

• Friday’s range in the contract remains intact, with no threats to the boundaries at either end of that band seen thus far.
• That leaves the technical parameters flagged earlier today in place.
• Cash gilt yields are little changed to 3bp higher, as the curve bear flattens at the margin, allowing 5s30s to pull further away from early ’24 steeps.
• SONIA futures run flat to 8.5bp softer on the day, with the reds and greens under the most pressure.
• BoE-dated OIS is a little less dovish vs. what was seen at Friday’s close, albeit operating off extremes, showing ~120bp of cuts for ’24.
• Weakness in Chinese equities, softer-than-expected German factory orders data, firmer-than-expected Swiss CPI and a fairly brisk start to the week for IG supply has been noted in wider spheres early this week.
• The local docket is limited today, with only short maturity bucket gilt sales from the BoE due.
• Read more on gilt market matters, including the early Monday REC-KPMG labour market release, in our Gilt Week Ahead piece: https://roar-assets-auto.rbl.ms/files/59389/GiltWeekAhead20240108.pdf