Dovish STIR Repricing Continues To Underpin, Over 100bp Of BoE Cuts Priced For ‘24

Gilts remain underpinned, with the BoE-dated OIS strip now pricing a little over 100bp of cuts through ‘24 as the dovish impulses seen over the past 24-36 hours extends a little. Short end feedthrough had promoted resilience when compared to core EGB peers, with local fiscal headlines resulting in some oscillations on the German curve. A post-PPI data bid in U.S. Tsys then helped broader core global FI markets go bid.

• Gilt futures register fresh session highs, last +115 ticks at 99.88
• Resistance in the form of the 1.382 projection of the Nov 24-29-30 price swing (99.80) is breached, with bulls now looking to the 100.00 level.
• Cash gilt yields are 10.0-13.5bp lower on the day, with 5s now outperforming.
• SONIA futures are 0.25 lower to 15.5bp firmer, with the greens outperforming.
• BoE-dated OIS is 0.5-13.0bp softer through ’24 MPC meetings, with ~19bp of cuts now seen through the May ’24 gathering and the first 25bp cut more-than-fully discounted come the end of the June gathering.