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BoE-Dated OIS Holds Lower And Flatter Post-Pill, Swings In Bonds Help Move Moderate A Touch
BoE-dated OIS continues to hold lower with the curve flatter on the day, albeit with the move away from best levels in core global FI markets allowing the space to move off dovish session extremes.
- Monday evening’s comments from BoE chief economist Pill were the key driver of the early dovish move.
- As a reminder, Pill seemingly endorsed the idea of a potential summer ’24 cut, while providing some dovish comments on inflation.
- The latest moderation in domestic Kantar food price inflation readings also provided some modest input, while a move lower for crude oil futures will have also fed in.
- Since these late Monday/early morning developments, swings in the longer end of core global bond curves have been at the fore, with a lack of meaningful macro headline flow observed in more recent hours.
- That leaves the liquid contracts running 0.5-9.5bp softer on the day.
- Terminal policy rate pricing is ~5.5bp above current effective rate levels, meaning just over 20% odds of another 35bp hike are currently priced.
- Beyond there, the first full 25bp cut is priced through the end of the August ’24 MPC, with ~66bp of total cuts currently priced through ’24.
BoE Meeting | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
Dec-23 | 5.234 | +4.7 |
Feb-24 | 5.244 | +5.7 |
Mar-24 | 5.199 | +1.2 |
May-24 | 5.114 | -7.3 |
Jun-24 | 5.022 | -16.5 |
Aug-24 | 4.909 | -27.8 |
Sep-24 | 4.779 | -40.8 |
Nov-24 | 4.644 | -54.3 |
Dec-24 | 4.529 | -65.8 |
Source: MNI - Market News/Bloomberg
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Why MNI
MNI is the leading provider
of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.