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Shallow Breach Of 100.00 In Futures, BEfore Pull Back

GILTS

Round number resistance in gilt futures only sees an incremental breach (highs of 100.02 seen), before the contract eases back to the 99.75 area. An extension through session highs would expose the Jan 5 high (100.81)

  • A reminder that impulses from the U.S. (data, Tsy futures flow, the QRA and NYC Bancorp stress) were the most notable inputs, with domestic month-end flows also providing a probable input.
  • Cash gilts are 5-10bp lower in yield terms, with 5s outperforming.
  • SONIA futures are 2.5-13.0bp firmer through the blues but sit a little off best levels alongside gilts.
  • BoE-dated OIS sits 1-10bp softer through ’24 contracts, with 112.5bp of cuts priced for ’24. The space also sits a little off most dovish levels of the day.
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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