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BoE Pricing Firms Away From Recent Dovish Extremes, Strip Steepens

STIR

BoE-dated OIS holds steeper on the day, promoting some widening pressure for gilts against both U.S. and German counterparts.

  • The liquid contracts on the strip run little changed to 6bp firmer on the day.
  • Just under 22bp of tightening is showing for this month’s meeting, while terminal policy rate pricing holds shy of 5.70%, ticking away from recent dovish extremes.
  • Spill over from hawkish BoJ musings were touted as a major contributory factor as London settled in.
  • Fiscal-related comments/speculation have provided the soundbites of note on the domestic side, but won’t have been much of a mover for the space.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Sep-235.403+21.7
Nov-235.537+35.1
Dec-235.594+40.9
Feb-245.615+43.0
Mar-245.620+43.4
May-245.597+41.2
Jun-245.548+36.3
Aug-245.465+28.0
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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