Futures Reverse Gains, Cash A Touch Cheaper Across Curve

The opening gap higher in futures is more than reversed, with a move away from best levels in Bunds also observed.

• Gilt futures sit -5 as a result, with a move through Friday’s best levels failing to stick.
• The major UK cash benchmarks run 1-2bp cheaper, with a modest steepening bias observed.
• SONIA futures are off early highs running -0.5 to +2.0 through the blues, as the strip twist flattens.
• Weekend comments from BoE’s Broadbent, warning of a higher for longer interest rate outlook, may have eventually helped BoE-dated OIS away from early highs, applying some light spill over pressure to Gilts.
• That strip sees the liquid contracts running 1bp softer to 1bp firmer, twist steepening.
• Ahead of the DMO consultation meetings with investors and GEMMs we set out our expectations for gilt issuance in FQ3 (click for the full document).