Off Cheaps, Curve A Touch Steeper

The move away from session cheaps in core global FI markets drags Gilts away from lows, with words from the Kremlin, playing down the chances of Russia-Ukraine peace talks, in addition to touted month-end rebalancing flows out of equities and into FI, acting as potential drivers (note that month-end FI index extension flows are seen as negligible influences at best, given the limited size of the projected extensions). That leaves Gilt futures running -10 or so, operating comfortably within Friday’s range and closing the opening gap lower., while the major cash benchmarks run 1.0bp richer to 2.5bp cheaper as the curve steepens.

• SONIA futures run -0.5 to +4.0, with the back end of the reds and front end of the greens outperforming at the margin.
• BoE-dated OIS sees terminal BoE policy rate pricing ease below 5.90% alongside the move in Gilts, with ~34bp of tightening showing for this week’s meeting.