April 23, 2024 13:59 GMT
Recovering On U.S. PMIs
GILTS
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 Meeting | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
May-24 | 5.193 | -0.7 |
Jun-24 | 5.084 | -11.6 |
Aug-24 | 4.951 | -24.8 |
Sep-24 | 4.862 | -33.7 |
Nov-24 | 4.738 | -46.2 |
Dec-24 | 4.652 | -54.7 |
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