Curve A Little Flatter, Futures Off Bests

Gilt futures last show +50, just above 101.65, ~20 ticks off session highs.

• A break of best levels would expose the 11 May high on a continuation chart (101.98), with the technical uptrend in the contract remaining intact.
• Cash gilt yields are 2.0-3.5bp lower, with a flattening bias maintained after Friday’s BoE APF sales schedule announcement.
• Gilts looked to post-London open moves in Bunds for some additional support.
• Also note that Goldman Sachs marked down their gilt yield calls through the end of ’24 late on Friday.
• Elsewhere, light dovish moves on the BoE-dated OIS strip have been seen.
• SONIA futures are -0.25 to +6.0 through the blues, with some light twist flattening observed.
• BoE-dated OIS shows 0.5-4bp softer through ’24 MPC meetings. ~21bp of cuts is now priced through the May ’24 MPC, while ~117bp of cuts is showing through calendar ’24.
• Initial comments from BoE Deputy Governor Broadbent haven’t meaningfully moved the needle, as he underscored the need for a clearer move lower in wage growth, while stressing that uncertainty delays the BoE’s reaction function.