Sharp Rebound Alongside Tsys As Initial U.S. PPI Sell Off Reverses

Gilt futures generally mirror U.S. Tsys in the wake of the U.S. PPI data, with futures basing bang on the 20-day EMA (97.23) before rebounding to trade above pre-release levels, last +15 at 97.78. Bulls don’t manage to test early session highs (97.89)

• Cash gilt yields are ~3bp lower on the day across the curve.
• A reminder that the downward revisions to most of the U.S. PPI readings and the less worrisome readthrough into the Fed’s preferred PCE metric countered the initial hawkish move in Tsys & FOMC-dated OIS.
• STIRs recover alongside gilts, with SONIA futures last printing +0.25 to +1.5.
• BoE-dated OIS shows 50/50 odds of a June cut and ~56bp of easing through year end.