GILTS: Drawing Support From Tsy Rally
Jul-17 13:30
Spill over from the eventual dovish reaction in Tsys to the U.S. data (driven by the softer-than-expected import prices) left morning lows in gilt futures intact, contract 91.34 last, just off session highs.
- Bears remain in technical control. Fresh extension lower would target Fibonacci support (90.97).
- Yields 2-4bp higher, curve bear flattens following this morning’s labour market data, which was slightly hawkish in net terms (when incorporating revisions and wage data).
- BoE-dated OIS has stabilised at ~48bp of cuts through year-end, over 80% odds of a 25bp cut priced for August, with such a move fully discounted come the end of the September MPC.
- SONIA futures flat to -4.0.
- SFIZ5 and SFIZ6 have registered fresh July lows today.
- Nothing much in the way of scheduled UK risk events through the remainder of the week, which will leave focus on ongoing discussions surrounding this week’s data vs. BoE Governor Bailey’s dovish comments to the Times last weekend.
BoE Meeting | SONIA BoE-Dated OIS (%) | Difference vs. Current Effective SONIA Rate (bp) |
Aug-25 | 4.003 | -21.4 |
Sep-25 | 3.964 | -25.3 |
Nov-25 | 3.804 | -41.3 |
Dec-25 | 3.736 | -48.1 |
Feb-26 | 3.615 | -60.2 |
Mar-26 | 3.586 | -63.2 |
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