Off Lows, Aided By Strong Demand At Auction

Strong demand metrics at the latest round of (infrequent) 20-Year supply helps gilt futures away from worst levels of the day (as does the removal of related delta hedging flow), with the contract trading back above 100.00 at typing (vs. session lows of 99.84). The contract is -40, around the middle of its 40-tick session range after some catch up to the weakness in wider core global FI markets at the open.

• Still, the contract remains comfortably within yesterday’s range, leaving familiar technical parameters untouched and in play.
• Cash gilt yields are 1.0-4.5bp higher, with the 7- to 10-Year zone under the most pressure.
• Little else to note when it comes to macro headline flow/meaningful UK news since the open, with the presence of the heavy global duration issuance slate (both sovereign and IG) applying the early pressure.
• Recent comments from BoE FPC member Bejamin pointed to a lack of material impact re: QT during the rate hiking cycle (when compared to higher rates).
• SONIA futures show +0.25 to -4.0 through the blues, ticking away from worst levels as gilts find a bit of a base.
• BoE-dated OIS shows ~124bp of ‘24 cuts, also moving in sync with gilts thus far.