GILTS: Off CPI-Driven Highs, Curve Bull Steepens

Gilt futures last +15 at 100.38.

• Contract traded as high as 100.54 following the softer-than-expected domestic CPI data, before fading from best levels as EGBs came under pressure.
• Yields 2.5-5.0bp lower, curve bull steepens on dovish STIR repricing post-data.
• Last week’s yield lows untested across the curve.
• 2s10s and 5s30s remain below ’24 peaks.
• SONIA futures back from early highs alongside gilts, 0.25-5.5 firmer on the day.
• BoE-dated OIS shows 9bp of cuts for Sep & ~48bp through year end, after the latter showed more than 50bp of cumulative cuts following CPI.
• We believe that today's data doesn't really change the narrative too much, at least from the BoE’s perspective.
• Elsewhere, the DMO announced the syndication of a new long 15-year gilt maturing 15 January 2040 (w/c 2 September). 
• This was an interesting choice. There had been some "isolated" calls for such issuance in the last investor/GEMM consultation - but most were divided between a new 25-year gilt or a tap of 30/40 year gilts.
• What’s more, 15s continue to trade closer to the richer end of their ’24 range on the 10-/15-/20-Year butterfly, although haven’t underperformed on that structure since the announcement.