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BoE-Dated OIS A Touch Softer

STIR

BoE TSC comments have applied light pressure to the BoE-dated OIS space (although the highlights have seemingly been the usual dovish tones from Dhingra and comments from Bailey re: the evolution of the economy in line with Bank expectations), with the liquid contracts now flat to 4bp softer on the day.

  • Impulses surrounding feedthrough from the U.S. ISM services survey will have helped limit the downward move, but the space had already based before then.
  • Pricing covering this month’s meeting is little changed showing 22.5bp (90% odds of another 25bp hike), while terminal policy rate pricing has eased below 5.80%.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Sep-235.412+22.7
Nov-235.565+38.0
Dec-235.653+46.8
Feb-245.702+51.7
Mar-245.710+52.5
May-245.694+50.9
Jun-245.661+47.5
Aug-245.593+40.8
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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