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Still Grinding Higher

GILTS
Bank Of England (BOE) Market NewsHomepageBond Market NewsBulletMarketsFixed Income Bullets

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 MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.198-0.2
Aug-245.116-8.4
Sep-245.055-14.5
Nov-244.938-26.2
Dec-244.865-33.5
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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 MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.198-0.2
Aug-245.116-8.4
Sep-245.055-14.5
Nov-244.938-26.2
Dec-244.865-33.5