BoE Pricing Back To Little Changed On The Day, Ranges Contained

Familiar hawkish utterances from BoE dissenter Haskel ultimately did little for BoE-dated OIS pricing on net, with the space already moving off dovish extremes alongside a move away from best levels in gilts.

• Today has seen MPC members Haskel and Ramsden underscore the higher for longer rates mantra, with Haskel once again flagging the need for higher rates in a passage of his speech.
• Earlier in the day, the latest BRC shop price inflation metric eased to a near 18-month low, which fed into the dovish impulse seen at the open, adding to cross-market derived flows.
• BoE-dated OIS now sits little changed on the day through ’24 MPC contracts.
• Terminal policy rate pricing is ~6.5bp above prevailing effective SONIA levels.
• Further out, ~21.5bp of cumulative cuts are priced through the Aug ’24 MPC, after a full cut was essentially discounted over that horizon earlier in the day.
• ~33.5bp of cuts are then priced come the end of the Sep ’24 meeting, with a cumulative ~59bp of cuts priced through ’24 on the whole (well off recent dovish and hawkish extremes).