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Driven Lower By U.S. Data

GILTS
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Gilt futures move through initial support at yesterday’s low following the U.S. data.

  • Lows of 95.44 seen so far, with next support located at the 2.00 projection of the Mar 12-15-22 price swing (95.41) as the bearish backdrop deepens.
  • Gilt yields are 2-6bp higher with 5s leading the sell off and the curve flattening.
  • 10s near 4.40% for the first time since early Nov.
  • SONIA futures are 0.5 to 9.5 lower.
  • BoE-dated OIS moves to show 42bp of cuts through year end but doesn’t threaten the recent range. The first 25bp is still fully discounted through the end of Sep ’24 MPC, just.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
May-245.202+0.3
Jun-245.122-7.7
Aug-245.007-19.2
Sep-244.943-25.6
Nov-244.846-35.3
Dec-244.779-42.0
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Gilt futures move through initial support at yesterday’s low following the U.S. data.

  • Lows of 95.44 seen so far, with next support located at the 2.00 projection of the Mar 12-15-22 price swing (95.41) as the bearish backdrop deepens.
  • Gilt yields are 2-6bp higher with 5s leading the sell off and the curve flattening.
  • 10s near 4.40% for the first time since early Nov.
  • SONIA futures are 0.5 to 9.5 lower.
  • BoE-dated OIS moves to show 42bp of cuts through year end but doesn’t threaten the recent range. The first 25bp is still fully discounted through the end of Sep ’24 MPC, just.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
May-245.202+0.3
Jun-245.122-7.7
Aug-245.007-19.2
Sep-244.943-25.6
Nov-244.846-35.3
Dec-244.779-42.0