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BoE-Dated OIS Eases

STIR

As mentioned elsewhere, the latest move lower in local Citi/YouGov inflation expectations (across both the 1- & 5- to 10-Year measures) has generated a fresh bid in the front end of the UK curve, after the well-documented risk-negative price action seen this morning had already biased BoE-dated OIS pricing lower. The liquid contracts on the strip run 1-9bp softer on the day, with around 34bp of tightening showing for tomorrow’s policy decision, while terminal policy rate pricing has eased below 5.85%, operating at recent dovish extremes. Click for our full preview of tomorrow’s BoE decision.

BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Aug-235.272+34.1
Sep-235.512+58.1
Nov-235.664+73.3
Dec-235.736+80.5
Feb-245.762+83.1
Mar-245.758+82.7
May-245.728+79.7
Jun-245.679+74.8
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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