Remaining Under Pressure

Gilt futures found a bit of a base around Friday’s low, but the uptick from worst levels has only been very shallow, leaving the contract -78 at 98.42, 5 ticks off lows. Next technical support comes in at 98.00, the Jan 17 low.

• Cash gilt yields are 5-7bp higher, with 10s leading the move.
• Global feed through has kept gilts on the defensive, allowing the hedging-related weakness around the long end gilt syndication to extend further. A reminder that spill over from the BoJ post-meeting press conference applied pressure through the early rounds of London trade.
• SONIA futures are flat to 9.5bp lower, with the strip steepening, generally printing a touch above worst levels of the day.
• BoE-dated OIS is flat to 6.5bp firmer through ’24 contracts, showing ~101bp of cuts through ’24. Pay-side flows have not breached the 100bp mark on that measure as of yet.