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BoE-Dated OIS Weighs On GBP & Supports Gilts In Recent Trade

STIR

BoE-dated OIS adopts a more conventional pull lower after the previously outlined twist steepening impulse fades, leaving the liquid area of the BoE-dated OIS strip running 1-5bp softer on the day, pricing ~44bp of tightening for the August MPC and a terminal BoE policy rate of just over 6.20%. The latest tick lower beyond the August contract has probably factored into the bid in Gilts and weakness in GBP.


BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Aug-235.371+44.3
Sep-235.749+82.1
Nov-236.006+107.8
Dec-236.133+120.5
Feb-246.145+121.7
Mar-246.124+119.6
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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