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Curve Twist Steepens Into BoE

GILTS

Gilts have edged away from session lows, with the curve twist steepening ahead of the BoE decision. Futures are -55 or so after bears failed to force a test of key near-term support, while the major cash benchmarks sit 1.5bp richer to 5.0bp cheaper. Any cheapening impulses in the front end of the SONIA strip have been faded, supporting the front end of the Gilt curve. The SONIA strip twist steepens, running 3bp richer to 4bp cheaper through the blues, pivoting in the greens. Meanwhile, the BoE-dated OIS strip prints ~32.5bp of tightening for today’s decision, running a touch softer on the day, while the remainder of the strip. Is little changed to a touch softer, with terminal policy rate price still showing below 5.85% as a result.

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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