Pressured By Cross-Market Matters, No Support From Pill

No immediate support is forthcoming in the wake of rhetoric from BoE’s Pill, who largely reiterated comments made by BoE Governor Bailey yesterday, highlighting the risk that inflation remains too high, along with little room for comfort on that front. He also reaffirmed the Bank’s current focus on the persistence of inflation, which will determine policy rates, along with expectations for a notable moderation in price pressures and hope that inflation is at a turning point (probably a little dovish when you consider Pill’s generally hawkish history). He also stressed that the BoE is not providing a directional steer on where rates will end up. Gilt futures operate just off fresh session lows, down ~50 ticks, as the curve bear steepens, with the major benchmarks running 5-8bp cheaper. BoE-dated OIS looks to wider market developments (as do Gilts), holding onto gains lodged this morning, although terminal rate pricing still hasn’t tested yesterday’s peak.