June 06, 2024 14:56 GMT
Futures Respect Initial Resistance, Cross-Market Outperformance Remains Evident
GILTS
Gilt futures stuck to their pre-ECB ranged as the latest monetary policy decision out of Frankfurt was digested.
- That leaves initial resistance at 97.86 intact, contract last 97.66.
- Gilt yields are little changed to 5bp lower, bull steepening.
- SONIA futures are flat to +4.5, with the reds leading the move.
- BoE-dated OIS still fully discounts the first 25bp cut through the Nov MPC, with ~38bp of cumulative cuts showing through year-end.
- Cross-market gilt & GBP STIR outperformance remains evident in light of the softening in wage growth expectations in this morning’s BoE DMP survey.
- There isn’t much in the way of tier 1 UK event risks scheduled during the remainder of the week, which will leave cross-market spill over and tomorrow’s U.S. NFP release at the fore.
BoE Meeting | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
Jun-24 | 5.197 | -0.3 |
Aug-24 | 5.112 | -8.8 |
Sep-24 | 5.033 | -16.7 |
Nov-24 | 4.903 | -29.7 |
Dec-24 | 4.818 | -38.2 |
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