Cheaper & Steeper But Off Lows, Looking To Cross-Asset Moves

Gilts follow broader core FI markets off lows with an eye on cross-market moves, although futures get nowhere near reversing the opening gap lower, leaving the contract -60. Any substantial move through session lows in the contract will allow bearish focus to move to mini-Budget lows.

• The major cash benchmarks are 1-4bp cheaper as the curve steepens.
• SONIA futures are +0.25 to -9.5 through the blues, as the curve twist steepens.
• The BoE-dated OIS strip has also twist steepened, although the move there is more modest, with terminal policy rate pricing hovering a little above 6.05%.
• Local headline flow remains muted at best.
• The space hasn’t reacted to a recent round of GBP cheapening in the FX space.
• The local docket is empty until tomorrow morning’s retail sales print.