June 27, 2024 09:27 GMT
Holding Lower, Wider Matters Eyed
GILTS
Most of the early weakness in gilts holds. Futures -20 at 97.77 vs. early lows of 97.67.
- Next support is seen at the trendline drawn off the May 29 low (97.40).
- The break of the 20-day EMA provides greater risk to the bullish technical backdrop, although the pullback is deemed corrective at this stage.
- Cash yields are 1.5-2.5bp higher, with the 5- to 10-Year zone leading the move.
- The move away from June yield lows extends, leaving multi-month ranges intact.
- SONIA futures are flat to 2.5bp lower. BoE-dated OIS shows 13.5bp of cuts for August, ~42bp of cuts through year end.
- While there hasn’t been a clear driver for today’s move, we note that the firmer-than-expected rounds of Canadian & Australian CPI data has generated plenty of discussion when it comes to the “bumpy” path for the moderation in inflation, with broader focus on tomorrow U.S. PCE reading.
- The BoE FSR is due today, but that shouldn’t be a market mover.
| BoE Meeting | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
| Aug-24 | 5.065 | -13.5 |
| Sep-24 | 5.004 | -19.6 |
| Nov-24 | 4.870 | -33.0 |
| Dec-24 | 4.779 | -42.1 |
| Feb-25 | 4.648 | -55.2 |
| Mar-25 | 4.563 | -63.7 |
| May-25 | 4.447 | -75.4 |
| Jun-25 | 4.362 | -83.8 |
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