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Yesterday’s High In Futures Holds

GILTS
Bank Of England (BOE) Market NewsHomepageBond Market NewsBulletMarketsFixed Income Bullets

Gilts extended higher on the back of the latest round of French political uncertainty.

  • This came after a marginally softer-than-expected round of domestic labour market data provided support for gilts & SONIA markets.
  • Gilts topped out at 96.69, just ahead of initial resistance at yesterday’s high (96.70), before backing off to 96.57 last.
  • Cash gilt yields are 2-4bp lower, with the curve bull steepening.
  • 2s10s has hit fresh ’24 steeps (albeit aided by prior benchmark rolls), while 5s30s sticks comfortably within its recent range.
  • SONIA futures are flat to +5.5, a little off session highs.
  • BoE-dated OIS shows ~34bp of cuts through year end vs. 31bp yesterday, with a 25bp step once again fully discounted through the Nov MPC.
  • The syndication of the new 4.25% Jul-34 gilt saw books close above GBP100bn, with the spread set at the tight end of the guidance range.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.203+0.2
Aug-245.104-9.6
Sep-245.042-15.8
Nov-244.930-27.0
Dec-244.859-34.1
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Gilts extended higher on the back of the latest round of French political uncertainty.

  • This came after a marginally softer-than-expected round of domestic labour market data provided support for gilts & SONIA markets.
  • Gilts topped out at 96.69, just ahead of initial resistance at yesterday’s high (96.70), before backing off to 96.57 last.
  • Cash gilt yields are 2-4bp lower, with the curve bull steepening.
  • 2s10s has hit fresh ’24 steeps (albeit aided by prior benchmark rolls), while 5s30s sticks comfortably within its recent range.
  • SONIA futures are flat to +5.5, a little off session highs.
  • BoE-dated OIS shows ~34bp of cuts through year end vs. 31bp yesterday, with a 25bp step once again fully discounted through the Nov MPC.
  • The syndication of the new 4.25% Jul-34 gilt saw books close above GBP100bn, with the spread set at the tight end of the guidance range.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.203+0.2
Aug-245.104-9.6
Sep-245.042-15.8
Nov-244.930-27.0
Dec-244.859-34.1