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Early Highs Hold In Futures

GILTS

Futures respect this morning’s high (95.81) after U.S. data facilitated a light rally.

Contract last +15 at 95.75.

  • Bears remain in technical control, yesterday’s low (95.33) presents initial technical support. Bulls need to overcome yesterday’s high (96.43) to start turning the tide.
  • Cash gilt yields are 2-6bp lower, bull steepening.
  • Long dated BoE-dated APF gilt sales were absorbed smoothly.
  • SONIA futures are flat to +3.0, with ’24 & ’25 contracts stabilising a little above yesterday’s cycle lows.
  • BoE-dated OIS is roughly in line with levels flagged earlier today, with a little over 50/50 odds of a cut priced through the Sep MPC and ~31bp of easing showing through year end.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.200+0.0
Aug-245.126-7.4
Sep-245.066-13.4
Nov-244.956-24.4
Dec-244.893-30.7
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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