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Terminal rate down to around 5.25% as markets await Chancellor's statement

GILTS
  • The SONIA strip has rallied around 18 ticks from the Reds onwards, with the Whites flattening. This leaves the terminal rate around 5.25%.
  • There is still around 105bp priced in for the November MPC meeting.
  • Markets await the 11:00BST statement from the Chancellor.
  • Most analysts who looked for hikes of greater than 75bp are pulling back some of their expectations (GS now looks for 75bp, Deutsche had been looking for up to 125bp at one point but now looks for 100bp with a 75bp floor).
  • Gilt futures are up 180 ticks at writing at 95.50 - but that is still some way off the 98.24 high seen on Friday.
  • There has been a marginal flattening of 10s30s, but the whole gilt curve has shifted by around 20bp since Friday's close (yields lower).
  • 2y yields down -19.4bp today at 3.676%, 5y yields down -19.8bp at 4.091%, 10y yields down -19.7bp at 4.128% and 30y yields down -23.2bp at 4.541%.
  • 2s10s down -0.3bp today at 45.2bp and 10s30s down -3.5bp at 41.3bp.
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