Early Cheapening Impulse Extends

Gilts have continued to cheapen, with a fairy parallel 4-5bp move now observed across the major benchmarks, while futures are -60 or so.

• The previously outlined hawkish offerings from BoE MPC Haskel have helped set the tone and come in front of scheduled comments from the most hawkish MPC Member, Catherine Mann, which will cross later today (15:00 London).
• Note that benchmark yields & futures have failed to challenge recent extremes today.
• SONIA futures sit little changed to 7bp cheaper through the reds, with the later reds/early greens providing the soft point on the broader strip.
• BoE-dated OIS is little changed to a touch higher vs. levels outlined earlier, with terminal pricing operating just above 5.55% in policy rate terms.