GILTS: Holding Lower After CPI, Next Support In Futures Nears

Gilt futures just above session lows, with a downtick in wider core global FI and this morning’s mixed domestic CPI data providing much of the weight.

• Futures have breached initial support, with bears now looking to test the 29 Jan low (91.96), which protects more meaningful support at the 24 Jan low (91.52). The short-term bull cycle remains intact above the latter.
• Yields 3-5bp higher across the curve, 10s lead the move.
• Demand at the 4.375% Mar-28 gilt auction was a little soft, with the lowest accepted price below pre-auction mids and the cover ratio edging lower vs. the previous auction. There was no tangible market reaction
• Elsewhere, the DMO announced the launch of a new index-linked gilt maturing on 22 September 2049. The transaction is set to take place in the week commencing 10 March 2025, subject to demand and market conditions.
• BoE-dated OIS shows 50.5bp of cuts through December vs. 53.5bp at yesterday’s close.
• Further forwards, the strip shows 0.5bp of cuts for next month, 20bp of easing through May and 26bp of cuts through June.
• A reminder that we have suggested that today’s inflation data is unlikely to move the needle when it comes to specific MPC member votes in March and continue to look for the next rate cut to come in May.