Holding Softer On Day, Recent Ranges Respected

Gilt futures operate a little above worst level but haven’t challenged this week’s lows, which protect the ’24 base.

• Wider core global FI weakness filter in.
• Domestically, OFGEM announced a 12.3% move lower in the Q2 energy price cap, a slightly shallower fall than the benchmark exp. of circa -14%.
• That means that the household reprieve, while still notable, will not be quite as meaningful as many had hoped and may be applying some modest pressure to gilts & STIRs, even though it shouldn’t meaningfully impact wider policy settings.
• Futures last print -47 at 97.14, sticking in a 97.10-97.47 band thus far.
• Roll turnover continues to garner a greater proportion of broader volume, as flagged elsewhere.
• Cash gilt yields are 2.5-3.5bp higher on the day, with a light bear flattening impulse.
• SONIA futures are little changed vs. levels seen shortly after the gilt open, last showing +0.25 to -8.5.
• BoE-dated OIS is little changed to 1.5bp firmer through ’24 contracts, showing ~60bp of cuts through ’24.
• The strip is generally respecting the YtD shallows in terms of the pricing of rate cuts (which were printed late last week/early this week).
• The local docket is slim to end the week.