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BoE Pricing Off Pullback Extremes, Pricing Did Not Move Below 100bp Of Cuts For '24

STIR

As noted elsewhere, cross-market outperformance in gilts comes alongside a receiver-side bias in UK STIR markets. Cleaner positioning in the STIR space and more attractive entry points (after yesterday's CPI-induced extension of the pullback from dovish extremes) will be factoring in to the move.

  • UK headline flow has been pretty quiet, with J.P.Morgan's updated BoE call getting a wider airing (they now see the first cut in Aug '24 vs. Nov '24 previously). Note that they adjusted their call yesterday, so this isn't new news.
  • The BoE-dated OIS strip now shows 109bp of cuts through '24, after that market got within a couple of bp of 100bp of cuts being priced earlier in the day/late yesterday.
  • Further forward, the strip prices greater than even odds (~14bp) of the first 25bp cut coming by the end of the May '24 MPC, after less than 12.5bp of easing (sub-50% odds of a 25bp cut) was priced earlier.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Feb-245.201+1.3
Mar-245.171-1.7
May-245.051-13.7
Jun-244.878-31.0
Aug-244.650-53.8
Sep-244.465-72.4
Nov-244.255-93.3
Dec-244.098-109.0
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageBank Of England (BOE) Market NewsBulletMarketsFixed Income BulletsForeign Exchange Bullets
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageBank Of England (BOE) Market NewsBulletMarketsFixed Income BulletsForeign Exchange Bullets

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