Futures Breach Initial Support, Wider Cues Still In Control

Gilt futures follow the broader core FI tone, gapping lower, last ~40 ticks softer, off early lows after bears forced a breach of yesterday’s low (which also represented the 50% Fibonacci retracement of the May 26 - Jun 1 rally). Cash trade sees some twist steepening, running 1bp richer to 2bp cheaper, pivoting around 5s, reacting to yesterday’s move off session flats on the U.S. curves.

• When it comes to broader technicals, moving average studies highlight a bear cycle in futures, with the 61.8% retracement of the aforementioned move providing intermediate support (95.52). Below that, more meaningful support is seen at the May 30/26 lows (94.91/21), with the latter representing the bear trigger.
• SONIA futures sit 1bp richer to 1bp cheaper through the reds, twist steepening.
• BoE-dated OIS is incrementally softer on the session, with terminal rate pricing showing between 5.50-5.55% after yesterday’s BoC-induced moves.
• Indeed wage data revealed an uptick in UK wage growth in the latest monthly print, even as the labour market cools (with the latest KPMG survey pointing to a deepening in the latter trend).
• A quick reminder that there is nothing on the way of meaningful domestic data releases/central bank speak due in the remainder of this week.