June 25, 2024 14:01 GMT
Under Pressure Following Canadian CPI
GILTS
Gilts have registered fresh session lows after the firmer-than-expected round of Canadian CPI data weighed on wider core global FI.
- Still, the contract failed to test Friday/Monday session lows (98.38), which protect initial technical support at 98.21.
- Cash gilt yields are 2bp higher to 2bp lower, as the curve twist flattens.
- We have suggested that the 2-/5-/10-Year fly may remain rangebound in the coming weeks, with focus on GBP STIR pricing and the gilt issuance schedule.
- BoE-dated OIS shows just under 15bp of cuts through the August MPC and ~47bp of cuts come the end of the Dec MPC, little changed on the day.
- SONIA futures remain little changed on the day last -1.0 to +1.0, struggling to hold any shallow moves away from unchanged levels.
- Tomorrow will bring CBI sales data and GBP3.0bn of 3.75% Jan-38 gilt supply.
| BoE Meeting | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
| Aug-24 | 5.053 | -14.7 |
| Sep-24 | 4.985 | -21.5 |
| Nov-24 | 4.836 | -36.4 |
| Dec-24 | 4.733 | -46.7 |
| Feb-25 | 4.593 | -60.7 |
| Mar-25 | 4.494 | -70.6 |
| May-25 | 4.370 | -83.0 |
| Jun-25 | 4.275 | -92.5 |
Source: MNI - Market News/Bloomberg. 2025 meeting dates are estimated.
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