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BoE Pricing Off Dovish Extremes Ahead Of Decision

STIR

A quick pre-BoE pricing run shows the first 25bp cut still fully discounted for the May ’24 MPC, with a cumulative ~117.5bp of cuts showing for ’24.

  • The strip has moved off dovish session extremes with core global FI back from best levels.
  • Pricing of cumulative ’24 cuts briefly moved beyond the 125bp mark earlier today i.e. 5x 25bp cuts, before pulling back.
  • A reminder that the latest BoE decision will hit at 12:00 London time.
  • We have flagged our full preview of that event on numerous occasions, while noting that focus is set to fall on the vote split and guidance verse, with no expectations for a move in bank rate.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Dec-235.201+1.3
Feb-245.192+0.4
Mar-245.101-8.7
May-244.932-25.6
Jun-244.758-43.0
Aug-244.553-63.5
Sep-244.359-82.9
Nov-244.163-102.5
Dec-244.012-117.6
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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