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BoE Pricing Twist Steepens, Headlines Light Ahead Of Event Risk

STIR

A ‘sticky’ ~21.5bp of tightening is showing for this week’s MPC on the BoE-dated OIS strip, while November meeting pricing is 1bp lower,. Further out, the strip sees contracts little changed to ~4.5bp firmer, as it twist steepens.

  • Terminal policy rate pricing sits at ~5.65%.
  • Local headline flow has been limited over the weekend/early Monday, leaving participants to look ahead to Wednesday’s CPI data and Thursday’s MPC decision.
  • Another 25bp hike is seen as a foregone conclusion by most, so, assuming the latest hike is delivered on Thursday, focus will quickly turn to any musings on QT/language surrounding the potential for further tightening.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Sep-235.399+21.3
Nov-235.508+32.2
Dec-235.570+38.5
Feb-245.592+40.6
Mar-245.582+39.7
May-245.547+36.2
Jun-245.498+31.2
Aug-245.405+21.9
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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