August 28, 2024 15:04 GMT
Little Changed, Futures Stick Within Yesterday’s Range
GILTS
Futures (Z4) have stuck with yesterday’s range, last -6 at 98.74.
- Yields little changed to 1bp higher.
- Gilts have followed the lead of wider core global FI markets today.
- The initial rally came alongside some weakness in crude oil.
- A move away from session highs was then seen as EGBs came under some hedging pressure stemming from pricing of some large EUR IG/sovereign deals.
- A panel appearance from BoE hawk Mann failed to generate headlines.
- We suggested this may be the case ahead of time, as there was no livestream of the event. A recording of the discussion will be released at some point, although we don’t have a firm time.
- BoE-dated OIS pricing has been sticky, showing just under 40bp of cuts through the Dec MPC at typing.
- Recent BoE communique has remained non-committal when it comes to the idea of follow up easing, providing some hawkish impetus for GBP STIRs.
- The local calendar is empty on Thursday, with participants looking ahead to the release of DMO’s quarterly issuance calendar on Friday.
| BoE Meeting | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
| Sep-24 | 4.911 | -3.9 |
| Nov-24 | 4.697 | -25.3 |
| Dec-24 | 4.559 | -39.2 |
| Feb-25 | 4.361 | -58.9 |
| Mar-25 | 4.222 | -72.9 |
| May-25 | 4.059 | -89.1 |
| Jun-25 | 3.966 | -98.4 |
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