June 03, 2024 13:12 GMT
Still Grinding Higher
GILTS
Another new high for gilt futures on the day, just below 96.80, as the contract adds over 140 ticks from last week’s low.
- As mentioned earlier, next resistance comes in at the May 23 high (97.44).
- Gilt yields are 2-5bp lower on the day as the curve flattens.
- SONIA futures are unchanged to 4.5bp firmer as the strip flattens.
- Recoveries from last week’s cycle lows in SONIA futures through SFIZ5 and multi-month/’24 highs in gilt yields continue.
- BoE-dated OIS shows ~33.5bp of ’24 cuts and ~14.5bp of easing through the Sep MPC, comfortably within recent ranges, with ’24 meeting contracts 0.5-3.0bp softer on the day.
- No meaningful fresh headline drivers since the bond-supportive factors outlined earlier, with wider core global FI continuing to rally.
| BoE Meeting | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
| Jun-24 | 5.198 | -0.2 |
| Aug-24 | 5.116 | -8.4 |
| Sep-24 | 5.055 | -14.5 |
| Nov-24 | 4.938 | -26.2 |
| Dec-24 | 4.865 | -33.5 |
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