Free Trial

Curve Bear Flattens, Futures Tight

GILTS

Gilts coil, in a similar manner to Tsys, with the initial catch up to post-Tuesday close weakness in wider core global FI markets tempered by the downtick in crude & equities.

  • That leaves futures -8 at 97.83, in a tight 97.69-97.90 range.
  • Cash gilt yields are 2.0-3.5bp higher, with a modest bear flattening bias.
  • Immediate focus for the long end is on the impending results of the GBP4.0bln short 5-year 4.50% Jun-28 gilt auction.
  • This will be the seventh auction of the gilt since its launch in June. The quantity of bids has stayed fairly stable through that period (with bid-to-covers ranging from 2.19-2.86x). However, the quality of the bids has been more variable with tails ranging from 0.6-2.1bp through the period (1.2bp in January, 0.9bp in December).
  • We don’t hold any real conviction re: potential strength of the auction.
  • SONIA futures show flat to 2.5bp lower through the blues.
  • BoE-dated OIS shows ~73.5bp of cuts for ’24, with little willingness to push meaningfully beyond pricing 75bp of cuts at present.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.