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Bear Steepening Now Seen, BoE Pricing Off Dovish Session Extremes


As mentioned elsewhere, mixed demand metrics at the latest long end gilt auction and the broader direction of travel for core global FI markets have helped to more than reverse any richening tied into the partial UK labour market/wage data released earlier.

  • See our previous bullet re: BoE pricing swings, with strip off dovish session extremes alongside the weakness in wider core global FI markets.
  • Bears have pushed gilt futures through the Oct 10 low (93.04) and 93.00. they will turn focus to the 76.4% retracement of the Oct 4-12 rally (92.48) if futures hold below the round number. The contract last prints -75 at 92.85, over 1 big figure off session highs.
  • Cash gilts are flat to 7.5bp cheaper, with the curve moving through states of twist, bull and bear steepening on the day.
  • SONIA futures last show 2bp richer to 7bp cheaper through the blues, twist steepening with a pivot seen in the reds.
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