Off Best Levels, Still Comfortably Firmer On The Day, BoE Pricing Moves Off Dovish Extremes

Gilt futures ran out of steam ahead of 95.00, although the contract is still comfortably firmer on the session, running +70 or so, with the post-U.S. CPI bid extending further this morning.

• Cash Gilts run 1-7bp richer through the reds, with 5s now leading on the curve, while the longer end still lags.
• Terminal pricing on the BoE-dated OIs strip did show below 6.20% but has since regained that level.
• SONIA futures last show -0.5 cheaper to 12.5bp richer through the reds, twist flattening.
• Recent headlines from the OBR pointed to fairly modest UK efforts to stabilise/reduce debt/GDP levels (by historical and international standards), with the body also warning that UK public debt is more vulnerable to shocks than others, stressing that UK public finances are in a “very risk era.”
• The bookbuild of the 0.625% Mar-45 linker syndication sees guidance set at the tight end of the initial range, with books in excess of GBP38bn (inclusive of JLM interest of GBP3.375bn). We pencilled in a size of GBP3-4bn pre book opening.