Light Rally, Month-/Quarter-End Eyed

Little to separate gilts from wider core global FI moves today, with a light rally seen.

• Futures recently tested early afternoon session highs at 99.88, which held.
• Contract back to ~99.85 last, with the highs of recent sessions remaining untested,
• Cash gilt yields are 3-4bp lower across the curve, 10s lead the rally, last ~3.93%.
• Cross-market performance is mixed, but spread moves are contained.
• The smooth passage of this morning’s EUR supply and focus on month-/quarter-end extensions and rebalancing (large extensions seen for gilts, while rebalancing flows are expected to be +ve for bonds and -ve for equities) have been supportive for broader core global FI markets.
• Little net movement in BoE-dated OIS today, with ~75bp of ’24 cuts priced.
• SONIA futures have ticked higher alongside gilts, last flat to +5.5.
• Final Q4 GDP data is due tomorrow, ahead of the elongated Easter weekend.