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Fresh Highs For Futures, First Resistance Breached

GILTS
Bank Of England (BOE) Market NewsHomepageBond Market NewsBulletMarketsFixed Income Bullets

Gilts follow peers higher despite the bounce from lows in oil, with equities continuing to hold lower on the day as NY reacts to overnight moves.

  • Futures through first resistance at 99.25 to trade as high as 99.34, next level seen at 99.85.
  • Yields 4-5bp lower across the curve, light bull steepening.
  • SONIA futures flat to +5.5, at/just off fresh session highs. Yesterday’s highs intact in the very front end of the strip but broken further out.
  • BoE-dated OIS 0.5-4.5bp more dovish on the day. 5bp of cuts priced for Sep, 27bp priced through Nov & 42bp priced through Dec.
  • North American risk is set to dominate from here, with U.S. JOLTS data and the latest BoC decision (25bp cut expected by most, ~28bp of cuts priced) due.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Sep-244.902-4.8
Nov-244.679-27.1
Dec-244.532-41.8
Feb-254.316-63.4
Mar-254.168-78.2
May-253.996-95.4
Jun-253.896-105.4
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Gilts follow peers higher despite the bounce from lows in oil, with equities continuing to hold lower on the day as NY reacts to overnight moves.

  • Futures through first resistance at 99.25 to trade as high as 99.34, next level seen at 99.85.
  • Yields 4-5bp lower across the curve, light bull steepening.
  • SONIA futures flat to +5.5, at/just off fresh session highs. Yesterday’s highs intact in the very front end of the strip but broken further out.
  • BoE-dated OIS 0.5-4.5bp more dovish on the day. 5bp of cuts priced for Sep, 27bp priced through Nov & 42bp priced through Dec.
  • North American risk is set to dominate from here, with U.S. JOLTS data and the latest BoC decision (25bp cut expected by most, ~28bp of cuts priced) due.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Sep-244.902-4.8
Nov-244.679-27.1
Dec-244.532-41.8
Feb-254.316-63.4
Mar-254.168-78.2
May-253.996-95.4
Jun-253.896-105.4