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BoE Pricing Off Dovish Session Extremes, Familiar Zones In Play

STIR

BoE-dated OIS moves back from softest levels of the day as core global FI markets move off richest levels.

  • The liquid contracts are now 1-6bp softer on the day, with the strip flattening.
  • That leaves ~31.5bp of tightening showing for next month’s meeting, while terminal policy rate pricing sits in the 6.05-6.10% window.
  • Flash PMI data (due tomorrow) presents the major scheduled domestic reference point for participants this week.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Sep-235.500+31.6
Nov-235.726+54.2
Dec-235.888+70.4
Feb-245.974+79.0
Mar-245.986+80.2
May-245.965+78.1
Jun-245.926+74.2
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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