Less Dovish Pill Helps Space Lower

Comments from BoE chief economist Pill have added some local input to the global pressure when it comes to gilts.

• As a reminder, Pill had given a bit of a green light to market pricing re: a rate cut in August ’24 earlier in the week, but today’s comments were more in line with the centre of the BoE i.e. stressing the need for persistence with current policy settings to offset the persistence of inflation.
• The comments allowed gilts to widen vs. core global peers out to 10 years.
• Gilt futures have pulled further away from early session highs to last trade +45, ~10 ticks off lows, while cash gilt yields are 3-4bp higher with the curve steepening.
• SONIA futures run 0.25-5.0bp softer through the blues, with the reds leading the weakness, as the early uptick in the space is more than reversed.
• BoE-dated OIS shows flat to 5.5bp firmer post-Pill, after moving off recent dovish extremes yesterday post-Bailey remarks.