Pull Back From Fresh Highs As U.S. CPI Digested

Digestion of the totality of the U.S. CPI print (particularly a firmer supercore M/M reading) leaves gilt futures comfortably off initial knee-jerk highs seen around the release of the data, with U.S. Tsys also pulling back from best levels.

• Gilt futures sit ~55 ticks back from best levels, just below 98.40, still up ~90 ticks on the day.
• Note that the push higher topped out at 98.92, a little ahead of resistance in the form of the Dec 6 high/bull trigger (98.97).
• Cash gilt yields are 5-9bp firmer on the session, still bull steepening on the day, but operating off richest levels across the spectrum.
• SONIA futures last show +0.25 to +13.0, generally operating shy of best levels alongside gilts.
• BoE-dated OIS saw an initial dovish spike on the back of the data, before pulling back from extremes. The strip now shows ~86bp of cuts through ’24 on the whole, ~5bp off dovish session extremes.