September 10, 2024 13:24 GMT
GILTS: Resistance Area In Futures Holds Again
GILTS
Previously covered resistance (100.20/21) caps the latest rally in gilt futures, which came alongside a bid in Tsys.
- A move away from lows in crude oil futures also helps limit the move.
- Contract last 100.14.
- Yields ~1bp higher across the curve.
- SONIA futures -2.0 to +2.0.
- BoE-dated OIS continues to price close to 45bp of cuts through year end.
- Nothing on the monetary policy front in Breeden’s pre-released remarks that crossed at midday.
- U.S. risk events and tomorrow’s UK economic activity data now eyed.
BoE Meeting |
SONIA BoE-Dated OIS (%)
Difference Vs. Current Effective SONIA Rate (bp)
Sep-24
4.923
-2.7
Nov-24
4.668
-28.2
Dec-24
4.503
-44.7
Feb-25
4.245
-70.5
Mar-25
4.045
-90.5
May-25
3.832
-111.8
Jun-25
3.712
-123.8
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