GILTS: Rally Extends Further, Curve Bull Steepens

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.