Still Grinding Higher

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.