Wings Lag During AHE-Driven Rally, Markets Essentially Price June ’24 BoE Cut

As flagged elsewhere, the softer-than-consensus AHE data has supported gilts early on Tuesday, with the overnight core global FI impetus (largely derived from Tsys & JGBs) also helping.

• That allowed futures to show as high as 98.78 in recent trade, adding over 120 ticks vs. settlement
• Last Friday’s opening gap lower in the contract was closed in the process. The Dec 6 high (98.97) is now eyed.
• Gilts yields run 9.5-11.5bp lower on the day, with the wings lagging.
• 10-Year yields have moved to 3.95%. Last week’s low at 3.941% (98.84 in futures today) and 3.90% (99.22 in futures today) present the immediate reference points on that front.
• SONIA futures remain underpinned post-data, last showing 0.5-14.5bp firmer.
• Meanwhile, BoE-dated OIS has seen an extension of the early dovish move, last showing little changed to 12bp softer through ’24 MPC contracts.
• Markets are once again essentially fully pricing a 25bp cut come the end of the June MPC.
• GBP3.75bn of 4.50% Jun-28 gilt supply is due today.
• Looking further ahead, tomorrow’s run of monthly economic activity data provides the last meaningful pre-BoE data input, but that shouldn’t move the needle too much for policymakers, at least when it comes to Thursday's decision.