Little Net Change On BoE DMP Release, Terminal Rate Pricing Holds above 6.50%

Gilts initially nudged away from session cheaps as the latest BoE DMP survey reveals that “one-year ahead CPI inflation expectations decreased to 5.7% in June, down from 5.9% in May.” However, any move surrounding that was limited/reversed by the fact that the same survey revealed that “three-year ahead CPI inflation expectations slightly increased to 3.7% in June, up 0.2 percentage points relative to May.” That leaves the major cash benchmarks running 6-9bp cheaper on the day, with bear flattening still apparent, while Gilt futures fade the ~20 tick uptick to last trade -90. BoE-dated OIS terminal policy rate pricing holds above 6.50% after piercing 6.60% earlier in the day.