May 01, 2024 09:31 GMT
Stabilising After Bearish Pressure Seen In Wake Of Auction
GILTS
A relatively wide tail in the latest 10-Year gilt auction weighs on the space.
- Futures touched fresh session lows in the wake of the auction, building on the pre-auction concession, before stabilising.
- The contract last prints -25 at 95.53 (95.44-74 range).
- Initial support at the 25 April low (95.36) is nearing.
- A breach there would expose round number support (95.00).
- Cash gilt yields are 2.5-3.5bp higher across the curve, bear flattening.
- 2s printed the highest yield level seen since the late Feb benchmark roll.
- 10+-Year benchmark yields are all a touch below their respective April highs, while 5s had a look through their April peak.
- Spill over weakness from U.S. Tsys was seen at the open.
- GBP STIRs are off hawkish session extremes, ’26 SONIA futures probe cycle lows.
- BoE-dated OIS shows ~38bp of ’24 cuts, with a little over 90% odds of a 25bp cut priced through the end of the Sep MPC.
- Final UK manufacturing PMI data was marked higher but remained below the breakeven 50.0 level.
- Nationwide house price data was softer than expected but isn’t a meaningful market mover.
- Focus now moves to the U.S. data releases and FOMC decision.
BoE Meeting | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
May-24 | 5.207 | +0.7 |
Jun-24 | 5.137 | -6.3 |
Aug-24 | 5.026 | -17.3 |
Sep-24 | 4.968 | -23.1 |
Nov-24 | 4.879 | -32.1 |
Dec-24 | 4.822 | -37.8 |
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