GILTS: Macro Matters Weigh, Futures Pierce Key Support

Pressure in wider core global FI markets continues to weigh on gilts as the post-NFP re-assessment of the Fed outlook extends.

• Elsewhere, the lack of meaningful escalation in Middle East geopolitical tension will be factoring in.
• Gilt futures -46 at 98.00, after piercing key short-term support to trade as low as 97.96. The bearish threat is deepening.
• Fresh downside impetus would expose the 76.4% retracement of the Feb 29-Mar 12 rally (97.67).
• Cash gilt yields 3-6bp higher, 7- to 10-Year sector leading the move.
• 10s threaten a clean break above their mid-March high.
• SONIA futures are flat to -5.5.
• BoE-dated OIS shows ~69bp of ’24 cuts, with June & August MPC pricing in familiar territory.
• The aforementioned global matters dominate, with the latest signs of loosening in the UK labour market (REC/KPMG report) having little lasting impact.
• Comments from BoE’s Breeden and short bucket BoE APF sales are due later today.