Off Best Levels, Curve Twist Flattens

Matters from the continent tempered the early gilt bid, with the burden of EGB issuance and firmer-than-expected Spanish CPI data noted.

• Futures have recovered from session lows to trade +35 at 99.37 around the middle of their early 31-tick range.
• Cash gilt yields are 1.5bp higher to 1.5bp lower, with the curve twist flattening.
• The early rally was centred on expectations surrounding U.S. Tsy issuance matters and China-related worry during Asia-Pac hours.
• Domestic credit data printed on the softer side of expectations.
• Long end I/L supply saw solid demand metrics, as covered elsewhere.
• SONIA futures are flat to 4.0bp firmer, with a light flattening bias.
• STIRs are off dovish session extremes alongside the pullback from best levels in gilts.
• BoE-dated OIS prints 1bp softer to 1bp firmer on the day through ’24 contracts. ~109bp of cuts are seen through ’24 on the whole.