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BoE Pricing Little Changed On Day, BoE Speak Due

STIR

Liquid BoE-dated OIS contracts run 1bp or so softer on the day, after moderating from early session highs that came alongside some initial weakness in gilts.

  • Gilts have since moved away from session cheaps.
  • Around 22.5bp of tightening is priced for this month’s MPC meeting (a 90% chance of a 25bp hike), while terminal policy rate pricing shows a little above 5.80%.
  • A raft of BoE speakers will appear in front of parliament this afternoon (Treasury Select Committee Hearing for the July Financial Stability Report and the August Monetary Policy Report).
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Sep-235.409+22.4
Nov-235.566+38.1
Dec-235.671+48.6
Feb-245.729+54.4
Mar-245.742+55.6
May-245.721+53.5
Jun-245.684+49.8
Aug-245.617+43.2
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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