SONIA: Huge Call Spread seller

Gilts sell off, adjusting to the overnight move in Tsys.

• Futures break yesterday’s low, basing at 91.08, before a recovery to 91.30.
• Support at the Mar 28 low (91.03) was untested. That level protects the Mar 27 base & key support (90.55).
• Yields 9bp lower to 15bp higher, aggressive curve steepening seen.
• 10s30s is set for the first close above 80bp since August ’16, while 2s30s is on track for the steepest close since ’17.
• Flattener plays in the former were a preferred position into the Spring Statement, given expectations surrounding a shortening of WAM. Exiting of related legacy positions could be factoring into today’s steepening.
• GBP4.5bln of 4.375% Mar-30 gilt supply is due today.
• MPC member Lombardelli didn’t provide much in the way of market-pertinent commentary.
• A reminder that BoE’s Breeden will speak at an MNI Connect event on Thursday, covering “UK economic and financial stability prospects."

Latest block trade lodged at 08:01:43/03:01:43 NY:

• TYM5 5K blocked at 110-24, looks like a buyer.
• DV01 ~$324K.

ERU5 98.25/98.50/98.75c fly, bought for 3.75 in 8k.