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Still Outperforming Peers Following BoE DMP

GILTS

Broader weight in core global FI markets pushes gilts away from session highs.

  • Futures got near initial resistance at 97.86, topping out at 97.85, before falling back to 97.70 as of typing.
  • That means initial technical parameters at Tuesday’s range extremes (97.08-97.86) remain intact.
  • Cash gilt yields are 6bp lower to 1bp higher, twist steepening on the day.
  • Benchmarks haven’t got anywhere near challenging their May lows.
  • 2s10s and 5s30s stick within recent ranges.
  • SONIA futures are flat to +5.0, pulling back from best levels alongside gilts.
  • A reminder that today’s cross-market outperformance for both gilts and GBP STIR markets comes on the back of a slowing in wage growth expectations in the latest DMP survey.
  • That comes after the recent moves in BoE pricing lagged the dovish repricing covering the U.S. Fed.
  • Gilt underperformance has also been seen against Tsys over the same horizon.
  • Cross-market spill over surrounding the impending ECB decision is now eyed.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.200+0.0
Aug-245.114-8.6
Sep-245.036-16.4
Nov-244.905-29.5
Dec-244.820-38.0
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Broader weight in core global FI markets pushes gilts away from session highs.

  • Futures got near initial resistance at 97.86, topping out at 97.85, before falling back to 97.70 as of typing.
  • That means initial technical parameters at Tuesday’s range extremes (97.08-97.86) remain intact.
  • Cash gilt yields are 6bp lower to 1bp higher, twist steepening on the day.
  • Benchmarks haven’t got anywhere near challenging their May lows.
  • 2s10s and 5s30s stick within recent ranges.
  • SONIA futures are flat to +5.0, pulling back from best levels alongside gilts.
  • A reminder that today’s cross-market outperformance for both gilts and GBP STIR markets comes on the back of a slowing in wage growth expectations in the latest DMP survey.
  • That comes after the recent moves in BoE pricing lagged the dovish repricing covering the U.S. Fed.
  • Gilt underperformance has also been seen against Tsys over the same horizon.
  • Cross-market spill over surrounding the impending ECB decision is now eyed.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.200+0.0
Aug-245.114-8.6
Sep-245.036-16.4
Nov-244.905-29.5
Dec-244.820-38.0