BoE Pricing Back To Pre-Decision Levels After Initial. Modest Move

The 6-3 vote and lack of meaningful alterations to BoE guidance (which is still tied to November forecasts despite the recent run of data) initially allowed BoE-OIS to firm a little vs. levels that we flagged pre-decision.

• The initial post-meeting move was limited and best described as a bit of relief for paid positions given the lack of dovish movement in the vote split/guidance.
• Receiver-side momentum then reasserted itself, given the lack of meaningful pushback from the BoE re: recent swings in market pricing.
• Contracts running through ’24 MPC meetings are now flat to ~16bp softer on the day, with ~118bp of cumulative cuts showing through ’24. A 25bp cut come the end of the May ‘24 MPC is priced once again, after odds of such an occurrence initially moved back to ~90% post-BoE.