Winding Through The Session, Reflecting On Yesterday’s Shift

Futures remain happy to consolidate yesterday’s move lower, running flat at typing, as participants continue to digest yesterday’s meaningful, hawkish repricing on the BoE-dated OIS strip.

• Cash Gilts run 0.5-5.0bp richer, bull steepening, with the previously covered downtick in BoE terminal rate pricing, as participants assess the viability of the additional ~130bp of tightening priced into the BoE-dated OIS strip at present, helping the front end of the curve off cycle cheaps.
• Broader markets remain relatively contained thus far, with an eye on pending event risk, although the uptick in crude oil futures may have helped limit any rallies in core global FI markets (before oil moved back from best levels), along with the tepid demand witnessed at the latest Bund auction.
• The latest FOMC & ECB monetary policy decisions provide the major macro risk events over the next 24 hours or so, while U.S. PPI data is also due today.