Holding Cheaper, Autumn Statement Nears

Gilt futures continue to hold shy of settlement levels, with wider core global FI swings (covered elsewhere) and pre-Autumn Statement adjustments moves at the fore thus far.

• That leaves futures -30 or so, just above 97.00. Bulls remain in short-term technical control, with well-defined technical parameters remaining untouched for now.
• Cash gilt yields are 0.5-3.5bp firmer on the day, with a bear flattening impulse seen.
• SONIA futures are flat to 8.5bp lower through the blues, with the late reds and early greens coming under the most pressure. The bulk of that move came late on Tuesday as core global FI markets came under pressure into the gilt close.
• Liquid BoE-dated OIS contracts run little changed to ~4bp firmer on the day.
• We have covered the latest rounds of press leaks/speculation re: the impending Autumn statement elsewhere (largely centred on promoting business investment and a national insurance cut for individuals, with expectations for an income tax cut in a pre-election Spring Budget). Our full preview of the event, including gilt remit expectations, can be found here.