New Session Highs For Futures On U.S. CPI, BoE Pricing Eases Further

Gilts follow Tsys higher in lieu of the U.S. CPI release, with the futures contract breaching yesterday’s peak, showing just below 93.50 at typing. Bulls look to the Jun 20 low and a key breakout level (93.88). UK STIR pricing sees fresh dovish flows, with terminal policy rate pricing showing below 6.35%, although pricing for next month’s meeting remains sticky, with just under 45bp of tightening showing there. SONIA futures show as much as 16bp firmer at print, just below post-data extremes, with the redfs leading. STIR dynamics allow the front end of the Gilt curve to outperform, with the major cash benchmarks running 4-12bp richer as the early bull steepening theme is maintained (2s30s test session highs post-data).