April 26, 2024 12:10 GMT
Fading
GILTS
Gilts have edged away from early session highs after bulls failed to retake 96.00 in futures. Macro headline flow has been light, with most of the discussions centred on the BoJ and JPY vol.
- Futures last print just above session lows, +1 on the day at 95.73.
- The bearish technical backdrop remains intact for the contract, with yesterday’s cycle low (95.36) presenting the initial target for bears.
- The early flattening bias sticks on the cash curve, with yields running little changed to 3bp lower.
- GBP STIRs also fade alongside gilts.
- That leaves SONIA futures flat to -4.5.
- Meanwhile, BoE-dated OIS shows ~40bp of ’24 cuts.
- U.S. data headlines from here.
BoE Meeting | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
May-24 | 5.203 | +0.4 |
Jun-24 | 5.129 | -7.1 |
Aug-24 | 5.014 | -18.6 |
Sep-24 | 4.954 | -24.6 |
Nov-24 | 4.858 | -34.2 |
Dec-24 | 4.796 | -40.4 |
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