Fixed Income - How to Play a Front-loaded Rate Hike Cycle

We read the latest inflation updates and the CBR's rhetoric as suggesting that key rate hikes this year will be front-loaded at the next two meetings in June and July. This is why we see value in flatteners during the next couple of months. If we are overestimating potential near-term CBR hikes, we still think longer OFZs should outperform, as it is in the 10y issue that the share of nonresidents has fallen the strongest this year. We open the following trade ideas with this note:> 5s10s OFZ flattener. Buy the 10y OFZ 26218 (September 2031) versus the 4y OFZ 26234 (July 2025), DV01-neutral; current spread is 65 bps, target is 30 bps; stop is 80 bps; horizon is two months.> 2s5s IRS (MosPrime 3m) flattener. Current spread is 18 bps, target is -15 bps; stop is 40 bps; horizon is two months.> 2s5s XCCY (MosPrime 3m) flattener. Current spread is -17 bps, target is -50 bps; stop is 0 bps; horizon is two months.> 2s5s ruble key rate swap flattener. Current spread is 45 bps, target is 0 bps; stop is 65 bps; horizon is two months.Over the next two weeks, triggers for a repricing could include the weekly inflation prints, the monthly inflation reading for April and potential hints from the CBR ahead of the start of the blackout period running up to the June 11 rate decision.