BoE Pricing Holds Off Dovish Session Extremes, Marginally Firmer On the Day Post-Bailey

BoE-dated OIS last shows 0.5-3bp firmer on the session, with the reversal from dovish extremes aided by the lack of overtly dovish commentary from BoE Governor Bailey earlier today.

• The rebound from dovish session extremes also meant that Tuesday’s dovish extremities essentially held.
• Terminal policy rate pricing lies ~7bp above prevailing effective SONIA.
• Beyond there, the first full 25bp rate cut from prevailing effective SONIA levels is priced through the end of the Aug ’24 meeting.
• A total of ~65bp of cuts are priced through calendar ’24.
• Comments from BoE chief economist Pill headline tomorrow, although he has spoken on a couple of occasions in recent days, with Monday’s dovish offering keeping the idea of a summer '24 rate cut/current market pricing alive.