Futures Back Below 100.00

Gilts follow core global FI markets lower as participants look to yesterday evening’s FOMC for guidance. A reminder that yesterday’s wider bid was largely aided by U.S. data, seemingly contained worry surrounding the U.S. banking sector and month-end-related demand.

• Gilt futures had a look above 100.00 yesterday, but that move has faded, with the contract last -24 at 99.73.
• A break of yesterday’s high would give the recent bullish move more credence, with the 20-day EMA already negated and round number resistance pierced.
• Gilt yields are 2.5-3.0bp higher across the curve.
• SONIA markets are a little off hawkish session extremes. Futures are 0.5-5.0bp softer on the day.
• BoE-dated OIS is 0.5-4.5bp firmer through ’24 contracts, ~110bp of cuts are priced for ’24.
• Explicit commentary from Chancellor Hunt re: lower fiscal headroom than was previously envisaged came in the wake of several source reports pointing to as much in recent days.
• Still Hunt has pointed to his desire to “lighten the tax burden” while stressing it must be done in a “responsible” manner.
• The BoE decision headlines the domestic docket today, our full preview of that event can be found here.