September 11, 2024 09:23 GMT
GILTS: Rally Extends Further, Curve Bull Steepens
GILTS
The rally in gilt futures has extended through round number resistance at 101.00, with the contract trading as high as 101.26.
- Softer-than-expected UK data added to the broader FI bid that was seen in Asia following the Harris-Trump debate.
- The data allowed the recent cross-market outperformance vs. Bunds to extend: https://marketnews.com/bonds-gilts-extend-recent-tightening-vs-bunds
- Bullish technical control deepens further on the move, with next resistance in futures noted at the August 5 high (101.46).
- The lack of concession for 10s made for relatively soft pricing and cover metrics at the latest DMO 10-Year supply, although pullbacks were limited.
- Yields 4.0-6.5bp lower, bull steepening.
- 30s and 50s probed early August risk-off lows, but gilt bulls have failed to force meaningful breaks there as of yet.
- SONIA futures have extended their early rally, last flat to +10.0, a little off session highs. M5 through H6 through early August peaks.
- BoE-dated OIS shows 48bp of cuts through year-end and ~134bp through Jun ’25 vs. closer to 45bp and 128bp late Tuesday.
- U.S. CPI dominates the macro calendar today.
BoE Meeting |
SONIA BoE-Dated OIS (%)
Difference Vs. Current Effective SONIA Rate (bp)
Sep-24
4.918
-3.2
Nov-24
4.647
-30.3
Dec-24
4.468
-48.3
Feb-25
4.196
-75.4
Mar-25
3.970
-98.0
May-25
3.739
-121.1
Jun-25
3.609
-134.1
Keep reading...Show less
173 words