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GILTS

The Apr 8 low in gilt futures (97.96) just about goes untested during the U.S. CPI-driven sell off (lows of 97.99), before a recovery to the 98.20 area.

  • The same holds true for 10-Year yields, with month-to-date highs not breached.
  • Yields are 8-10bp higher on the day, 5s lead the sell off.
  • SONIA futures are 1.0-15.0bp lower, also edge away from lows alongside gilts.
  • BoE-dated OIS shows ~62bp of ’24 cuts, with the first 25bp cut still fully discounted come the end of the Aug MPC.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
May-245.173-2.4
Jun-245.063-13.5
Aug-244.926-27.2
Sep-244.822-37.6
Nov-244.683-51.5
Dec-244.580-61.8
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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