June 27, 2024 07:57 GMT
Lower, Futures Move Closer To Trendline Support
GILTS
Gilts are softer alongside global peers. The firmer-than-expected Canadian & Australian CPI data has generated plenty of discussion when it comes to the “bumpy” path for the moderation in inflation, with broader focus on tomorrow U.S. PCE reading.
- Futures have broken yesterday’s low to print 97.67. Next support is seen at the trendline drawn off the May 29 low (97.40).
- The break of the 20-day EMA provides greater risk to the bullish technical backdrop, although the pullback is deemed corrective at this stage.
- Yields are 2-3bp higher across the curve.
- SONIA futures are under modest pressure alongside gilts, last -0.5 to -2.5.
- BoE-dated OIS shows ~13bp of cuts through the August MPC and ~41.5bp through year end, little changed vs. pre-gilt open levels.
- The BoE FSR is due today, but that shouldn’t be a market mover.
| BoE Meeting | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
| Aug-24 | 5.066 | -13.4 |
| Sep-24 | 5.008 | -19.2 |
| Nov-24 | 4.874 | -32.6 |
| Dec-24 | 4.786 | -41.4 |
| Feb-25 | 4.650 | -55.0 |
| Mar-25 | 4.570 | -63.0 |
| May-25 | 4.452 | -74.8 |
| Jun-25 | 4.365 | -83.5 |
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