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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 MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.197-0.3
Aug-245.112-8.8
Sep-245.033-16.7
Nov-244.903-29.7
Dec-244.818-38.2
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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