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London Morning Lows Intact For Futures, BoE Pricing Off Hawkish Extremes

GILTS

London morning lows are not tested/breached during a couple of recent rounds of fresh cheapening in gilt futures (even as Bunds register new session lows on German debt brake headlines/speculation), with the contract last showing -75 or so, just above 95.90, 15-20 ticks above session lows of 95.76.

  • Cash yields are 8.0-9.5bp higher on the day.
  • 5s still lead the weakness in cash trade, given the previously covered PMI-aided hawkish adjustment in BoE-dated OIS/SONIA.
  • SONIA futures and BoE-dated OIS operate off hawkish session extremes, with contracts on the futures strip flat to 12.5bp lower (weakness led by the reds and greens), while BoE-dated OIS contracts through ’24 MPC meetings are flat to 9bp firmer on the day.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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