HYBRIDS: Hybrids: Week in Review

{GB} GILTS: Gilts futures have closed the opening gap lower, with the passage of European supply, move away from session highs in equities and some dovish leaning Fedspeak seemingly contributing over the past few hours.

• Gilt futures register highs of 92.73 before fading back to 92.65.
• Initial support and resistance 92.24 & 92.84, respectively.
• Yields are 2bp lower to flat, curves hold steeper.
• Bulls have not been able to force 10s meaningfully through 4.50% since the break back above in early July (this week’s low at 4.496%, last trading 4.51%).
• Similar price action in 2s around the 3.80% mark.
• UK headline flow remains light since the overnight comments from thinktank NIESR (pointing towards the need for sizeable tax hikes and an in line with market pricing view on BoE raters).
• SONIA futures off lows given the recovery further out the curve, last +1.5 to -1.5.
• Exposure to dovish call structures have dominated in SONIA options markets today.
• BoE-dated OIS once again nears discounting of 50bp through year-end after printing ~47bp earlier today.
• Over 90% odds of a cut remain priced for tomorrow’s BoE decision.
• With markets pricing a cut with near certainty, the delivery of such a move would mean that focus shifts quickly to the vote split, the tone of the press conference, any changes to assumptions in the scenarios and any signalling ahead of September’s QT decision.
• Our full preview of the event can be found here.

EURUSD (22nd Aug) 1.1600p, sold at 0.0052 in ~1.6k (new Position).

SPX: 6,316.1 (+0.3%); DJIA: 44,265 (+0.3%/+154pts); NDX: 23,077.9 (+0.3%).