Following The Bear Steepening Impulse From Further Afield

Gilts start BoE day heavily in light of the extension of the cheapening in U.S. Tsys, with Gilt futures printing at the lowest level since July 13 in the process, with that day’s low (94.20) providing the next level of technical support after key near-term support gave way, allowing the recent bearish move to extend. Cash Gilts run 1-6bp cheaper as the curve bear steepens, with the 2s10s and 5s30s curves moving to fresh multi-week highs.

• The weakness in bonds drags the SONIA strip lower, with contracts there flat to 6bp cheaper through the greens. Meanwhile, the BoE-dated OIS strip sees 34bp of tightening showing for today, while terminal policy rate pricing operates just below 5.85%.
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