Under Pressure Alongside Peers, Solid Demand At Latest Long End Syndication

Little let up in today’s gilt sell off.

• A reminder that the weight of broader global bond supply and firmer-than-expected Australian CPI data have driven this morning’s bond weakness.
• Futures are through initial support at 96.45, with bears targeting cycle lows at 96.01. The contract has printed as low as 96.29.
• The cash curve bear flattens, with yields last 5.0-6.5bp higher.
• Note that we have flagged solid demand at the Jul-54 gilt syndication (larger amount to be sold than we expected and the spread set at the tight end of the guidance range). Delta hedging needs help keep the pressure on, but the demand seen may be factoring into the bear flattening.
• SONIA futures last 0.5-7.0bp lower, with the back end of the reds under the most pressure.
• BoE-dated OIS shows just under 90% odds of a cut through the August MPC and just under 50bp of cuts priced through the end of ’24.