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Futures Through Yesterday’s Highs, BoE Pricing Pulls Back Again

GILTS

Gilt futures have moved further beyond 95.00, breaching yesterday’s high, before running out of steam just ahead of 95.50, with the previously covered switch to twist flattening on the BoE-dated OIS strip and a general rally from cheaps in core global FI markets helping.

  • Gilt futures last sit +70 or so, ~5 off best levels, with the next level of meaningful technical resistance located at the July 3 high (95.55).
  • Cash Gilts are 5bp richer to 1bp cheaper as the curve twist steepens, pivoting at the 30-Year point.
  • The 2-/10-Year curve is ~25bp off last week’s inverted cycle extremes, with BoE terminal rate pricing sitting 50bp or so back from hawkish cycle extremes.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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