May 30, 2024 14:11 GMT
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 Meeting | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
Jun-24 | 5.200 | +0.0 |
Aug-24 | 5.126 | -7.4 |
Sep-24 | 5.066 | -13.4 |
Nov-24 | 4.956 | -24.4 |
Dec-24 | 4.893 | -30.7 |
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