Off Lows Alongside Peers, BoE Pricing In Familiar Territory

Gilts move away from lows alongside wider core global peers, leaving futures -17 at 98.29.

• Futures only managed a few modest moves below 98.00, with the early session low of 97.96 holding.
• Still, the bearish threat has grown, with key short-term support at the mid-March low pierced.
• Cash gilt yields are now little changed to 2bp higher, with the early, contained curve steepening holding.
• No real reaction in the front end re: slightly softer cover at the BoE’s latest short bucket APF sales.
• SONIA futures are unchanged to -4.0 through the blues, with the greens under the most pressure.
• BoE-dated OIS shows ~70bp of cuts through ’24, not straying too far from that mark today.
• Macro matters have dominated, with local headlines limited.
• Comments from BoE’s Breeden are due in ~90 minutes.