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GILTS: Holding Lower After CPI, BoE's Ramsden Due Later

GILTS
CEEMEABulletUKMarketsFixed Income Bullets

Intraday recoveries in gilts have proved fleeting so far, with futures to fresh session lows at 93.44 in recent trade. 

  • Feedthrough from the firmer-than-expected CPI data continues to be felt, while assessment of the future of the Russia-Ukraine conflict has regained greater prominence in recent days.
  • Initial support in futures seen at the Friday/Monday double bottom (93.32/33), although Thursday’s low (92.97) provides more meaningful support.
  • Yields now 4.5-5.5bp higher across the curve, with 10s testing 4.50%.
  • Gilt/Bund spread out to ~213.5bp, a little over 3bp wider on the day and ~2bp off closing cycle wides (215.8bp).
  • BoE-dated OIS pricing 1.0-4.5bp more hawkish on the day through Dec ’25, showing 62.5bp of cuts through the end of next year.
  • Exact pricing levels shown in the table below.
  • We still look for cuts in February & May, with more data needed to provide any real assessment of likely moves beyond those meetings.
  • SONIA futures flat to -5.5, off session lows. November lows intact across the strip.
  • Comments from BoE’s Ramsden due later today (16:00 London). He will speak on monetary policy.

BoE Meeting

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Intraday recoveries in gilts have proved fleeting so far, with futures to fresh session lows at 93.44 in recent trade. 

  • Feedthrough from the firmer-than-expected CPI data continues to be felt, while assessment of the future of the Russia-Ukraine conflict has regained greater prominence in recent days.
  • Initial support in futures seen at the Friday/Monday double bottom (93.32/33), although Thursday’s low (92.97) provides more meaningful support.
  • Yields now 4.5-5.5bp higher across the curve, with 10s testing 4.50%.
  • Gilt/Bund spread out to ~213.5bp, a little over 3bp wider on the day and ~2bp off closing cycle wides (215.8bp).
  • BoE-dated OIS pricing 1.0-4.5bp more hawkish on the day through Dec ’25, showing 62.5bp of cuts through the end of next year.
  • Exact pricing levels shown in the table below.
  • We still look for cuts in February & May, with more data needed to provide any real assessment of likely moves beyond those meetings.
  • SONIA futures flat to -5.5, off session lows. November lows intact across the strip.
  • Comments from BoE’s Ramsden due later today (16:00 London). He will speak on monetary policy.

BoE Meeting

Keep reading...Show less