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Off Lows Alongside Peers, BoE Pricing In Familiar Territory

GILTS

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.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
May-245.145-5.0
Jun-245.027-16.8
Aug-244.875-32.0
Sep-244.762-43.3
Nov-244.613-58.2
Dec-244.499-69.6
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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