BoE Pricing Off Dovish Session Extremes

BoE-dated OIS prints in a slightly more dovish manner than was seen at yesterday’s close, last showing little changed to 2bp softer on the day.

• That leaves a little under ~5bp of tightening priced through the Feb ’24 MPC.
• Beyond there, the first full 25bp cut is discounted through the end of the Aug ’24 MPC.
• ~68bp of cuts are then priced through the entirety of ’24 (vs. current effective SONIA levels). The strip sits comfortably off dovish extremes witnessed in recent weeks, even with the ECB strip registering fresh dovish extremes today.
• Still, feedthrough from ECB pricing has provided the dovish bias today.
• Comments from BoE dissenter Haskel were typically hawkish. He told the Times that a low level of unemployment may keep interest rates elevated.
• A tick away from best levels in core global bonds and the aforementioned Haskel comments helped limit the early dovish flows.
• Ranges have been relatively contained by recent standards.