EGBs-GILTS CASH CLOSE: Mixed Curve Movements As Hike Pricing Firms

The German curve twist steepened with the UK's bull flattening Friday.

• Short end Eurozone rate hike expectations firmed, with ECB speakers in the morning mostly on the hawkish side (Knot, Kazimir).
• Oct ECB hike pricing closed at about 62bp; Dec 2022 implied rate rose 2.8bp to 1.81% on the day; terminal remained around 2.3%.
• An FT sources piece pointing to the ECB discussing QT starting in October with a potential start by year-end to put renewed pressure on BTPs.
• The BoE decision was postponed from next week to Sept 22nd due to the mourning period for the Queen, leading to some volatility in front rate futures, though settled a little higher on the day (67bp priced).

Closing Yields / 10-Yr Periphery EGB Spreads To Germany:

• Germany: The 2-Yr yield is down 0.7bps at 1.327%, 5-Yr is down 1.7bps at 1.538%, 10-Yr is down 1.9bps at 1.698%, and 30-Yr is up 2.9bps at 1.808%.
• UK: The 2-Yr yield is down 1.4bps at 3.054%, 5-Yr is down 2bps at 2.987%, 10-Yr is down 5.2bps at 3.095%, and 30-Yr is down 2.2bps at 3.476%.
• Italian BTP spread up 6.3bps at 232bps / Greek up 7bps at 258.2bps