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BoE-Dated OIS Twist Steepens, Terminal Rate Pricing Tops Out Around 6.10%

STIR

Steepening of the BoE-dated OIS strip saw terminal policy rate pricing look through recent session highs, topping out around the 6.10% mark, before easing back to 6.07-6.08% as of typing.

  • Meanwhile, ~32bp of tightening shows for next month’s gathering, little changed on the day.
  • Local headline flow remains light, with broader moves in Tsys & JGBs helping Gilts to cheapen and BoE-dated OIS pricing to steepen.
  • The liquid contracts on the strip are -1bp to +3bp on the day.
  • Tomorrow’s retail sales release represents the next local risk event of note.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Sep-235.505+32.1
Nov-235.729+54.5
Dec-235.897+71.3
Feb-245.988+80.4
Mar-246.010+82.6
May-245.989+80.6
Jun-245.952+76.8
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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