Twist Steepening Still In Play

The level of demand seen at this morning’s Jul-53 green Gilt auction, coupled with the relatively tight tail, continues to insulate the long end of the Gilt curve from some of the cheapening pressure seen elsewhere. Still, twist steepening remains evident on the curve, with the major cash benchmarks running 2bp richer to 2bp cheaper, leaving the 2-/10-Year yield curve ~7bp off yesterday’s inverted cycle extreme. Gilt futures are +10 on the day.

• SONIA futures are little changed to 4bp richer through the reds, with the reds outperforming the rest of the strip.
• BoE-dated OIS continues to price a terminal policy rate of just over 6.30%.
• There has been a distinct lack of market moving news today, leaving order flow as the driving force in recent dealing.