BoE Pricing Remains Volatile, Albeit Operating Around Familiar Points

BoE-dated OIS continues the run of recent vol., with the outright richening in core global FI on the back of softer than expected Chinese GDP Q2 Y/Y data and a related pull lower in crude oil futures allowing receiver-side flow to dominate today. That leaves the liquid BoE-dated OIS contracts running 1-8bp softer on the day as the strip flattens.

• Just over 45bp of tightening remains priced for next month’s MPC decision, with terminal policy rate pricing operating around ~6.20%.
• The space is off dovish session extremes as core global FI moves back from richest levels of the session.
• Local headline flow was fairly restrained over the weekend. The most meaningful headline for markets probably came via confirmation that the opposition Labour Party would not look to alter the BoE’s inflation target if it wins the next election.
• The domestic docket is fairly thin over the next couple of sessions, with the already released Rightmove house price data pointing to familiar issues for the property market.
• Wednesday will bring the key CPI data, the final such reading ahead of the August MPC gathering, while the same day will also see BoE Deputy Governor Ramsden speak on quantitative tightening.