Futures Off Lows, Curve Still Twists Flatter On Day

Gilt futures recover from worst levels of the day after some weakness surrounding EGB issuance-related hedging and syndication announcements provided some pressure from the continent. The contract last shows +36 at 99.38, around the middle of its contained 37-tick range. Bulls haven’t managed to challenge the next round of resistance levels thus far (exacts flagged earlier).

• Cash gilts yields run 2bp higher to 2bp lower, with 10s to 30s outperforming as the curve twist flattens.
• The key highlight from the summary of the annual GEMM/investor consultation meetings with the DMO revealed that both GEMMs and investors supported proportional reductions in long conventional issuance along with increases in shorts/mediums. This may be aiding today’s twist flattening of the gilt curve.
• SONIA futures last show flat to 4.5bp firmer on the day, while BoE-dated is essentially little changed across ’24 contracts. ~110bp of cuts are priced through ’24 at typing.