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Wider Themes & Positioning Continue To Dominate

GILTS

U.S. data-driven swings (flagged elsewhere) remain at the fore, with gilt futures briefly reverting to levels seen around the open, before fading a touch. That leaves the contract -35 or so around 100.65, ~85 ticks off lows.

  • Cash gilt yields are flat to 3.0bp higher on the day, with the intermediates under the most pressure.
  • SONIA futures now sit +0.5 to -9.0 on the day, comfortably off hawkish session extremes.
  • BoE-dated OIS trades in a similar fashion and now sits little changed to ~2bp firmer across ’24 meetings, with 129bp of cuts priced through ’24 (~11.5bp off session extremes).
  • Wider market themes and positioning dynamics have dominated today, with local news flow on the sparse side.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Feb-245.201+1.4
Mar-245.130-5.7
May-244.992-19.5
Jun-244.805-38.2
Aug-244.553-63.4
Sep-244.307-88.0
Nov-244.064-112.3
Dec-243.898-128.9
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageBond Market NewsBank Of England (BOE) Market NewsBulletMarketsFixed Income Bullets
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageBond Market NewsBank Of England (BOE) Market NewsBulletMarketsFixed Income Bullets

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