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Recovering On U.S. PMIs

GILTS
Bank Of England (BOE) Market NewsHomepageBond Market NewsBulletMarketsFixed Income Bullets

The softer-than-expected U.S. flash S&P PMI data allows gilts to rally, countering much of the sell off that came in the wake of BoE chief economist Pill’s earlier comments (he didn’t seem in much of a rush to cut rates).

  • Gilt futures recover to the 97.00 area, after registering lows of 96.56.
  • Zooming out, the bearish technical backdrop remains intact, with the contract still trading ~30 ticks lower on the day.
  • Initial support comes in at the April 19 low (96.45).
  • Cash gilt yields are 2-4bp lower vs. yesterday’s close, with 5s still leading today’s sell off.
  • BoE-dated OIS and SONIA futures also rally on the data.
  • The former shows ~55bp of ’24 cuts vs closer to 50bp earlier today, while SONIA futures are 1.0 to 4.0 lower on the session.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
May-245.193-0.7
Jun-245.084-11.6
Aug-244.951-24.8
Sep-244.862-33.7
Nov-244.738-46.2
Dec-244.652-54.7
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The softer-than-expected U.S. flash S&P PMI data allows gilts to rally, countering much of the sell off that came in the wake of BoE chief economist Pill’s earlier comments (he didn’t seem in much of a rush to cut rates).

  • Gilt futures recover to the 97.00 area, after registering lows of 96.56.
  • Zooming out, the bearish technical backdrop remains intact, with the contract still trading ~30 ticks lower on the day.
  • Initial support comes in at the April 19 low (96.45).
  • Cash gilt yields are 2-4bp lower vs. yesterday’s close, with 5s still leading today’s sell off.
  • BoE-dated OIS and SONIA futures also rally on the data.
  • The former shows ~55bp of ’24 cuts vs closer to 50bp earlier today, while SONIA futures are 1.0 to 4.0 lower on the session.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
May-245.193-0.7
Jun-245.084-11.6
Aug-244.951-24.8
Sep-244.862-33.7
Nov-244.738-46.2
Dec-244.652-54.7