Futures Comfortably Below Settlement Levels, Curve Bear Flattens, Autumn Statement Eyed

The early downtick in gilts is limited as core global FI futures recover to levels witnessed around the time of Tuesday’s gilt close.

• Futures last show -35, just shy of the top of a narrow 18 tick early range, holding on to late Tuesday losses.
• Cash gilt yields are 1.5-3.5bp higher across the curve, with light bear flattening seen.
• A quick reminder that bulls remain in short-term technical control, with last week’s high (97.99) providing initial resistance. Bears need to break initial support in the form of the Nov 15 low (95.93), which is a big figure or so away from prevailing levels.
• SONIA futures and BOE-dated OIS are roughly in line with levels seen pre-gilt open.
• Local headline flow has seen continued focus on today’s Autumn Statement, with the UK press pointing to an emphasis on business tax cuts (after PM Sunak intimated that focus of any tax relief measures will largely centre on the supply side of the economy), in addition to national insurance tax cuts for individuals (press outlets have flagged the likelihood a pre-election income tax cut in the Spring Budget).
• See our full preview of that event here.