BoE Pricing Holding Softer & Flatter On Day, 2 Hikes No Fully Priced

BoE-dated OIS has eased from dovish extremes, with gilts off best levels of the day.

• The liquid BoE-dated contracts are 0.5-8.5bp softer on the session.
• The combination of continued feedthrough from yesterday’s BoE speak and today’s DMP survey had terminal policy rate pricing as low as ~5.69% at one point, before reclaiming 5.70%.
• Participants no longer fully price two further 25bp rate hikes from the BoE on the back of the aforementioned Bank communique and DMP survey.
• When it comes to this month’s meeting, markets price ~21.5bp of tightening.
• REC jobs market data (overnight) provides the next soft indicator for participants to assess, but isn’t usually a market mover.
• Beyond that, next week’s highlights include the monthly labour market and GDP reading prints, with the former having notable market moving/BoE expectation-shaping potential.