Yesterday’s High Caps Post-U.S. Data Rally In Futures

The bid in gilt futures develops further on the back of data out of the U.S., although yesterday’s high caps the rally, with the contract topping out 1 tick below Wednesday’s peak before paring back to the 97.00 area at typing. Cash gilt yields are 8.5-10.5p lower on the day with short, dated yields moving to fresh multi-month lows.

• We have flagged outperformance in gilts elsewhere. While domestic headline flow has been fairly light, outside of hawkish comments from BoE dissenter Greene, a gap in the gilt issuance window surrounding next week’s fiscal statement, along with expectations for a cut in gilt issuance requirements at the same event, may be coming more into focus, building on the spill over from the bid seen in wider core global FI markets.
• SONIA futures follow gilts, running flat to 8.5bp richer through the blues.
• BoE-dated OIS is little changed to 7.5bp softer on the day through the end of ’24, with ~77bp of cumulative cuts priced over that horizon.