Futures Sub-96.00, BoE Pricing Off Yesterday’s Dovish Extremes Ahead Of Decision

Bears push gilt futures sub-96.00 at the second attempt, although late Tuesday levels are still some distance away, owing to yesterday’s post-CPI rally.

• Cash gilts run 4-7bp cheaper, with the belly to intermediates leading the weakness.
• Some light hawkish BoE pricing adjustments post-FOMC, with payers coming in after yesterday’s dominant receiver-side flows, will have aided the move in gilts.
• A little over 14bp of tightening is now showing for today’s BoE decision, as markets lean more towards a hike than no move in rates, while terminal policy rate pricing shows above 5.50%, meaning one hike is a little more than fully priced once again. A quick reminder that yesterday’s softer than expected CPI data has seemingly made the decision much tougher to call.
• SONIA futures last 1-7bp cheaper a little off session lows.
• Fresh selling in Tsys would have done the cheapening move in gilts no harm.