Light Twist Flattening Seen, Futures Hold Shy Of Early Highs

Gilt futures haven’t been able to better the highs seen at the open, last trading +20 or so around 97.20, ~30 ticks shy of the peak of their ~40 tick range.

• This comes as core global FI markets also move away from best levels (the wider bid seen since yesterday’s gilt close had provided early support).
• Cash gilt yields are 1.5bp higher to 1.5bp lower on the day, twist flattening.
• The front end of the gilt curve and SONIA strip has underperformed all day, after BoE Governor Bailey continued to leave the door open to further rate moves if risks to the inflation outlook become apparent. He also stressed that it is too early to start considering rate cuts.
• As noted elsewhere, bulls remain in short-term technical control when it comes to gilt futures, with last week’s high (97.99) providing initial technical resistance.
• SONIA futures are -3.5 to +0.5 through the blues, with some light twist flattening seen.
• BoE-dated OIS is little changed to 2bp firmer on the day.
• BoE MPC testimony in front of the Treasury Select Committee has just got underway, with opening remarks failing to move/surprise markets.
• Our preview of tomorrow’s Autumn Statement can be found here.
• Expect continued fiscal speculation to do the rounds ahead of that event.