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Gilts hold up pretty well given delay to fiscal statement

GILTS
  • Gilts are underperforming both USTs and Bunds this morning with concerns that the fiscal statement would be delayed from 31 October (based initially on a Times report that it would be considered today and then a later BBC piece that said it was a done deal ahead of an official confirmation). The fiscal statement has now been upgraded to a formal "Autumn Statement" and the OBR forecasts will be released alongside it.
  • On the BBC story, gilt futures hit their lows of the day of 100.49 (around 90 ticks off yesterday's close) although given the recent volatility the moves were relatively small.
  • Gilts have since recovered around half of these losses to trade around 40 ticks lower on the day with 10-year yields up around 3.5bp.
  • The long-end has seen a bigger move today with the 10s30s curve around 6.6bp steeper on the day at 8.7bp. Since Truss' resignation as PM the curve has traded in a broad -7bp to +10bp range.
  • Given the Autumn Statement is due to be held in a week with 3 gilt auctions and next week there is no issuance (due to the DMO moving the syndication to accommodate the fiscal plan announcement), there is a chance we see a bit of a change to the DMO calendar.
  • 2y yields up 0.3bp today at 3.306%, 5y yields up 0.3bp at 3.729%, 10y yields up 3.6bp at 3.664% and 30y yields up 9.7bp at 3.762%.
  • 2s10s up 3.3bp today at 35.8bp and 10s30s up 6.1bp at -0.8.bp.
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