August 22, 2024 08:07 GMT
European PMIs Create Some Vol, Yields Ultimately Little Changed
GILTS
European PMI-driven vol. sees gilts trade in a 39-tick range, albeit still roughly centred around 100.00, leaving initial technical levels (100.80 and 99.59) untouched.
- Futures last +8 at 100.12.
- Yields little changed across the curve
- SONIA futures -0.5 to +2.0, just off session highs.
- BoE-dated OIS shows ~42.5bp of cuts through the Dec MPC, vs. ~42bp early today.
- Domestic flash PMIs due in ~25 minutes, labour market and inflation metrics will be of particular interest when it comes to assessing the likely path for BoE policy.
| BoE Meeting | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
| Sep-24 | 4.890 | -6.0 |
| Nov-24 | 4.667 | -28.3 |
| Dec-24 | 4.524 | -42.6 |
| Feb-25 | 4.321 | -62.9 |
| Mar-25 | 4.170 | -78.0 |
| May-25 | 4.007 | -94.3 |
| Jun-25 | 3.909 | -104.1 |
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