Off Early Highs, SONIA Off Dovish Session Extremes

Firmer-than-expected Spanish CPI data helps temper the early bid in wider core global FI markets.

• A reminder that expectations surrounding U.S. Tsy issuance and China-centric worry seemed to underpin wider core global FI markets in the time since Monday’s gilt close.
• That leaves futures +37 at 99.39, a little shy of early session highs of 99.53.
• The 20-day EMA in the contract has been pierced, easing bearish pressure. A fresh move higher would allow bulls to target round number resistance at 100.00.
• Cash gilt yields are 1bp higher to 1.5bp lower, with the curve twist flattening.
• 10-Year yields are ~20bp off last week’s high, last printing 3.86%.
• SONIA futures are flat to +4.0, off best levels alongside gilts.
• BoE-dated OIS is also off dovish extremes, showing ~110bp of cuts for ’24 at typing.
• Local news flow saw BRC shop price data reveal the shallowest Y/Y rise seen since May ’22 (+2.9%), which provided a (modest) local input for the early moves.
• Money supply and lending readings headline a limited local data docket on Tuesday.
• Also note that the DMO will come to market with GBP900mn of 0.125% Mar-51 I/L supply later today.