Futures Respect Friday's High, Fiscal Speculation Dominates

Gilt futures have moved away from session lows alongside global peers, although Friday’s high (98.43) in the contract has capped rallies so far (range 98.00-43).

• Futures last -11 at 98.21.
• Cash gilt yields are -/+1bp on the day.
• Macro headline flow has been limited.
• Weekend comments from Chancellor Hunt pointed to a “responsible” approach to fiscal easing.
• Local press source reports are seemingly biased towards slightly larger tax/national insurance cuts than they were 1 week ago, which presents some modest upside risk to DMO remit consensus and potential headwinds for gilts.
• SONIA futures are flat to -5.0 through the blues.
• BoE-dated OIS is also off session extremes, last showing 63bp of ’24 cuts, with 24bp of cuts priced through the end of the June ’24 MPC.
• GBP750mn of medium-term gilt sales will come from the BoE later today.
• The local release & speaker calendar is empty on Monday, with focus centred on fiscal speculation ahead of Wednesday’s Budget.