September 27, 2022 13:57 GMT
- The Sep-22 contract initially fell to a 96.785 low before moving up to 96.94 and then moving to 2 ticks lower than when Pill started speaking at 96.84 (32 ticks higher on the day).
- The Sep-23 SONIA contract is now down 13 ticks ticks on the day to 93.83 (pricing in a terminal Bank Rate above 6% within 12 months).
- Gilt futures have remained volatile, but with less direction and have remained in a wide 93.41-94.82 range over the past hour or so.
- The 2s10s gilt curve is now at -15.8bp, still a long way off yesterday's low of -46.2bp.
- 10s30s hit a high of 53.4bp around UK lunchtime and are now 46.4bp, even further from yesterday's low of 9.4bp.
- GBPUSD down from about 1.08 to 1.0739 during Pill's speech and now back at 1.0770.