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Pressured Alongside Global Peers, BoE Pricing Continues Move Away From Dovish Extremes

GILTS

Gilts continue to slide alongside wider core global FI markets, with technical breaks and pay-side flows in STIRs aiding the move.

  • Futures now sit just above 100.00, shedding 95 ticks on the day, with key support breached.
  • The contract deals close to 400 ticks shy of late December highs.
  • A breach of 100.00 would expose a bit of an air pocket, with little meaningful technical support seen until the 6 Dec high/recent breakout level (98.97).
  • Cash gilt yields are 5-8bp higher, with 10s under the most pressure.
  • Gilt bears closed the gap lower in 10-Year yields from the 13 Dec close (located at 3.830%), with that benchmark last showing around 3.80%.
  • SONIA futures are +0.5 to -15.0 through the blues, with the late reds and greens under the most pressure.
  • BoE-dated OIS now prices ~123bp of cuts for calendar ’24, ~30bp off recent dovish extremes and showing the shallowest cutting path seen over that horizon since 20 Dec.
  • Early ’24 moves continue to push back on the bullish bond consensus, as core global central bank pricing pulls back from late ’23 dovish extremes.
  • Local headline flow has been light, leaving focus on wider market moves and the impending raft of U.S. data.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Feb-245.195+0.8
Mar-245.139-4.8
May-244.999-18.9
Jun-244.818-36.9
Aug-244.564-62.3
Sep-244.333-85.5
Nov-244.101-108.6
Dec-243.957-123.0
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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