July 05, 2024 14:29 GMT
Futures Through Initial Resistance But Off Highs, Next Week's BoE Speakers Now Eyed
GILTS
Gilt futures printed above 98.00 on a couple of occasions after the U.S. NFP release, but have faded from highs alongside Tsys, last +55 at 97.89.
- Initial resistance at Wednesday’s high (97.78) has been broken, with bulls now eying the June 28 high (98.24).
- A break of the latter would add further weight to the recent bullish move.
- Cash gilt yields are 4-6bp lower.
- SONIA futures 1.0-6.5 firmer, mostly off session highs. BoE-dated OIS shows ~15.5bp of cuts for August and ~47bp of cuts through year end.
- Next week sees focus turn to the initial rounds of post-election BoE communique, with the hawkish wing of the MPC (Pill, Mann & Haskel) set to appear.
| BoE Meeting | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
| Aug-24 | 5.045 | -15.5 |
| Sep-24 | 4.972 | -22.8 |
| Nov-24 | 4.827 | -37.3 |
| Dec-24 | 4.731 | -46.9 |
| Feb-25 | 4.598 | -60.2 |
| Mar-25 | 4.510 | -69.0 |
| May-25 | 4.389 | -81.1 |
| Jun-25 | 4.304 | -89.6 |
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