Baire sets of $X$ possess the required Cartesian product property

Question

Let $X=X_{1}\times X_{2}$ is locally compact space, and define $$E=\{E_{1}\times E_{2}\;|\; E_{i}\; \text{is a Borel set in}\; X_{i}\; ,\; \text{for}\; i=1,2\}$$ Now why the Baire sets of $X$ are in the $\sigma$-algebra generated by $E$? Of course that every Baire set is Borel too so all Baires of $X_{i}$ is a Borel of it too.