BoE Pricing Incrementally Firmer On The Day

The major points of the Autumn Statement did little to move the needle for BoE-dated OIS, with oil-related swings providing limited moves within relatively narrow ranges.

• That leaves BoE-dated OIS running flat to ~3bp firmer on the day.
• Terminal policy rate pricing is ~5bp above prevailing effective SONIA rate levels.
• Beyond there, the first full 25bp cut is priced come the end of the Bank’s August MPC, with a total of ~67bp of cuts priced into ’24 on the whole. That is ~20bp off the dovish extremes seen last week.
• We suggest that the national insurance cuts, partly flagged pre-event in the local press, may make it a little tougher for the BoE to match market pricing re: the cutting cycle (a reminder that market pricing represents a degree/pace of cutting that the Bank had generally pushed back on in recent days) owing to the inflationary feedthrough, with the potential for pre-election (inflationary) income tax cuts in the Spring Budget also on the radar.