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GILTS
Thursday saw 10s register the richest closing level on the 5s10s20s fly since late September, before operating a touch cheaper today.
- A PMI-aided hawkish adjustment in BoE-dated OIS pricing and the issuance feedthrough from Wednesday’s Autumn Statement/DMO updates were the drivers of the richening of the belly of the structure over the previous couple of sessions.
- Any dovish re-adjustments in BoE pricing would trigger some cheapening for 10s vs. 5s (although we don’t get much in the way of tier 1 UK data next week and the scheduled BoE speak is centred on the middle to hawkish end of the MPC spectrum), while the steepening of the 10s20s side is likely to be a little stickier given supply mechanics.
- Further out, the bellies of the 10s20s30s and 10s30s50s sit a little off the multi-month/-year cheaps that were registered earlier in November.
Fig. 1: UK 5s10s20s Butterfly (bp)
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.
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