Another Round Of Notable, Gilt-Inspired Moves

TY futures open around late NY levels, a little shy of their Wednesday peak.

• Historic Gilt market moves were at the fore again on Wednesday, with the BoE’s “temporary” purchases of longer dated Gilts (stepping in to support the LDI community and promote a return of market functionality) and delay of QT providing a bid for wider core global FI markets.
• Tsys were 13-24bp richer across the curve as a result, with intermediates leading the rally, pulling the 5-/30-Year yield spread further away from lowest levels of the cycle (albeit still sitting at -25bp), while the 2-/10-Year spread more than reversed the early steepening, closing a little under 20bp off cycle lows.
• Note that 10-Year yields showed above 4% on several occasions, but failed to meaningfully push through, as was the case in ’09 & ’10 (highlighted previously).
• The rally helped 7-Year Tsy supply stop through WI, ending the run of tailing auctions.
• The Asia-Pac docket is light, which will leave regional digestion of Wednesday’s market moves at the fore. Gilt market moves in lieu of the BoE’s first round of emergency purchases will likely set the tone in London hours, with regional and national German CPI also due.
• NY hours see the final Q2 GDP print, weekly jobless claims and another round of Fedspeak, with Messrs Bullard, Mester & Daly all set to appear. Expect them to stick to the hawkish script, as was the case with Wednesday’s speakers.