BoE Pricing Off Of Hawkish Extremes As Bonds Stabilise

As mentioned elsewhere, Tuesday’s initial weakness in core global FI markets (aided by the bid in crude oil and a brisk start to ’24 IG issuance) biased SONIA futures & BoE-dated OIS in a hawkish direction, before a reversal of the move higher in oil futures and U.S. data helped bonds to find a bit of a base.

• That leaves SONIA futures and BoE-dated OIS comfortably off hawkish extremes.
• SONIA futures are flat to -7.0 through the blues, with the reds under the most pressure.
• BoE-dated OIS through '24 MPC meetings sit 0.5-4.5bp firmer on the day. 147bp or so of cuts are priced through calendar ’24, the best part of 5bp off the most hawkish levels of the day.
• Participants probably eyed the degree of dovish BoE repricing that was deployed into the end of ’23 as a reason to push this morning’s hawkish move a little further, before the partial reversal took place.