Comfortably Off Best Levels, Curve Flatter

As mentioned elsewhere, gilt futures ran out of momentum just ahead of 98.00, while bulls failed to challenge the 4.00% mark in 10-Year yields.

• U.S. data, hawkish ECB commentary via our policy team's latest sources piece and comments from the hawkish wing of the ECB Governing Council and the outright scope of this week’s rally (which may have facilitated profit taking) have all factored into the move away from bests levels, on top of the failure to pierce the previously highlighted to gilt round numbers.
• Gilt futures last deal little changed at 97.15, while cash gilt yields are flat to 4bp lower on the session as the curve flattens.
• 2s10s threaten month-to date lows.
• SONIA futures now print either side of neutral through the blues, --3.5 to +1.0, with a twist flattening bias evident.
• BoE-dated OIS sits little changed on the day through the liquid contracts, with Dec ’24 MPC pricing over 10bp off dovish session extremes, last showing ~76bp of cuts over that horizon (vs. current effective SONIA levels).