Futures Unwind Losses, U.S. Data & Month-End Dominate

This morning’s sell off in futures has fully reversed on the back of the U.S. data, contract +6 at 99.82 (99.48-93 range).

• Initial resistance at 100.05 remains untouched, with the contract sticking to the range that has prevailed in recent sessions.
• Cash gilt yields are 0.5-2.0bp higher across the curve, with 10s holding below 4.00% as we move towards the long weekend (3.94% last).
• Month-end flow may also be factoring in, with UK index extensions much larger than average.
• SONIA futures are -2.0 to +2.0 as the strip twist flattens.
• Meanwhile, BoE-dated OIS prices ~73bp of ’24 cuts, after threatening a break below 70bp earlier today.
• The BoE DMP survey and final PMI readings headline next week’s UK data calendar.
• Inflation expectations and indications of price dynamics within those surveys will be monitored carefully.
• Hawkish releases may provide some attractive entry points re: late ’24 OIS plays e.g. if end of ’24 OIS prices ~60bp of cuts or the Aug/Dec spread moves to price ~35bp of easing in that window, with those levels close to the early ’24 hawkish extremes.