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Off Post-CPI Highs, BoE Now Eyed

GILTS

Gilts a little off highs with the rally in futures stalling ahead of initial resistance at 99.35.

  • Contract last +39 at 99.12. 98.97-99.30 range.
  • Cash gilt yields are 3.5-5.0bp lower across the curve, light bull steepening.
  • Initial UK CPI-driven bid fades a little, with the services CPI release limiting the impact of the slightly softer-than-expected headline readings.
  • GBP STIR little changed vs. pre-gilt open levels, but firmer post-CPI.
  • SONIA futures last flat to +5.0, BoE-dated OIS showing ~70bp of ’24 cuts vs. ~66bp late yesterday.
  • Domestic focus turns to tomorrow’s BoE decision (click for full preview).
  • The ongoing ECB watchers gathering and upcoming U.S. FOMC decision will draw much of the macro interest before the BoE decision.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Mar-245.203+1.4
May-245.157-3.2
Jun-245.055-13.4
Aug-244.902-28.7
Sep-244.778-41.2
Nov-244.617-57.3
Dec-244.492-69.8
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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