Total Derivatives

Swaps - GBP

An early sell-off partly-reversed as the 10s30s curve again refused to follow the steepening in the US amid supply rumours. CPIH faces a challenge.

Another bullish session for USTs and ultra buying by RM and international accounts drove bull-flattening today.

RPI gets a boost from QAH's linker with traders reflecting on the 'beauty' of the UK inflation market. Meanwhile breakevens take a breather.

A low volume session saw gilts rise from early lows alongside USTs. Long nominals outperformed a touch and the B/E curve ended tighter and flatter.

Strong USTs and a new Q1 bounce bull-flattened the curve, but traders warned of a market skewed to steepen in positions. And talk of Kilts returned.

Traders reported selling of 5y spreads and gilt basis but said the main driver today is rebalancing plays ahead of quarter-end.

Gilt yields followed USTs north and B/Es sold off by around a bp as linkers failed to eat to the beta.

What felt like the first day of Spring saw risk-off fail to gain a foothold, while risk-on was held off long enough to get the APF out of the way.

The FCA and BOE encourages the SONIA switch for sterling non-linear derivatives to be made by 11 May.

Bear-flattening reversed this afternoon as flows faded. Traders eye liquidity, as does the BOE, which is also busy examining inflation forecasting.

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