Off Initial Highs, Futures Little Changed

Gilt futures track swings in wider core global FI markets, initially showing through yesterday’s high before fading.

• The contract last prints +2 at 98.60, sticking to a narrow 15-tick range thus far.
• Fresh moves higher would target the April 10 high (99.10).
• Cash gilt yields are 0.5-1.0bp lower.
• SONIA futures edge off highs to last print flat to +1.5.
• BoE-dated OIS shows ~60bp of ’24 cuts.
• BoE MPC member Greene will speak today (12:00 London, with a slideshow released at that time).
• We view this as the most significant BoE address of the week. The speech is entitled “The current state of Britain’s labour market.”
• We think that Greene and Haskel remain the two most hawkish members of the MPC (we suspect Mann is slightly less hawkish based on her most recent comments).
• Any signal that Greene sees less risk of inflation persistence would likely be deemed significant.
• Her vote is unlikely to be needed to reach quorum to cut rates but if she did indicate that she was leaning in a more dovish direction, this would likely see the market increase the probability of near-term cuts.
• A continuation of her hawkish stance would probably see less of a market reaction, although the recent dovish repricing gives a little more room for such an adjustment.