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BoE Pricing Maintains Dovish Bias

STIR

As noted elsewhere, the bulk of the early dovish move in UK STIRs has held. We point to focus on late Thursday dovish comments from hawkish BoE MPC dissenter Haskel as a facilitator, given increased coverage over the elongated weekend (there wasn’t much in the way of widely digested coverage of the comments on Friday).

  • SONIA futures show little changed to 5bp firmer through the blues.
  • BoE-dated OIS contracts are little changed to 4bp softer through ’24 contracts. The first 25bp cut is more than fully discounted through the end of the May ’24 MPC, with ~149bp of cuts priced through calendar ’24.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Feb-245.188+0.1
Mar-245.099-8.8
May-244.885-30.2
Jun-244.629-55.8
Aug-244.349-83.8
Sep-244.107-107.9
Nov-243.863-132.4
Dec-243.696-149.1
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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