Futures Off Best Levels, Curve Off Steeps, Outperformance Remains Comfortable Post-CPI

Gilt futures topped out shortly after another round of sub-par demand at today’s DMO auction, with this morning’s rally providing some headwinds for takedown there. Still, UK paper comfortably outperforms global core FI counterparts on the day owing to the softer than expected CPI print, with futures off pullback lows.

• That leaves the futures contract +175 or so on the day, after bulls failed to force a challenge of 98.00.
• Cash Gilts run 15-22.5bp richer across the major benchmarks, with the short end off richest levels of the session and the wider curve away from session steeps.
• SONIA futures sit 3.5-31bp richer through the reds, with the reds outperforming on the strip.
• BoE-dated OIS pricing for next month’s MPC meeting continues to indicate near 50/50 odds of a follow up 50bp hike and terminal policy rate pricing continues to trade around 5.90%, as the strip holds flatter on the day.
• Comments from BoE’s Ramsden, on the topic of quantitative tightening, provides the major domestic point of interest from here (text will be released at 17:00 London with a Q&A session to follow).