Curve Twist Steepens On CPI & Presence Of Supply, Syndication Attracts Record Demand

Gilt futures edge away from session lows with the pricing of the syndicated GBP7bn of 5.75% Oct-43 supply now out of the way, leaving hedging-related flow in the rear-view. Note that the orderbook topped GBP93bn (including JLM interest), which represented a record for conventional gilt supply demand.

• Broader core global FI markets have also ticked away from session cheaps, which will have provided some spill over support.
• Gilt futures last show -5 or so, ~25 ticks off worst levels, printing 96.72.
• Cash gilt yields run 2bp lower to 1bp higher across the curve, twist steepening on the day, as the impact of softer than expected CPI supports the short end and the presence of the aforementioned supply weighs on the longer end (with some noting appetite for switching into the new 20-year from surrounding lines).
• SONIA futures are +1.0 to -1.0 through the blues, while BoE-dated OIS contracts sit either of unchanged, but within 2bp of yesterday’s closing prints.