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BoE-Dated OIS Incrementally Softer As Bonds Recover From Session Lows

STIR

As noted elsewhere, the drift away from session cheaps in core global FI markets into U.S. CPI has applied some light pressure to BoE-dated OIS.

  • The liquid contracts are little changed to 3bp softer on the day, with the strip flattening.
  • That leaves 20.5bp of tightening priced for next month’s MPC meeting, while terminal policy rate pricing moves back to 5.75%.
  • Both these measures remain in familiar territory after the dovish adjustment seen over the last month or so.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Sep-235.388+20.6
Nov-235.548+36.5
Dec-235.639+45.6
Feb-245.684+50.1
Mar-245.682+50.0
May-245.653+47.0
Jun-245.604+42.1
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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