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BoE Terminal Rate Pricing Touches 5.55%

STIR

BoE-dated OIS continues the post-CPI re-shuffle higher and steeper, with sell-side BoE calls still being adjusted this morning.

  • Terminal rate pricing has topped out around the 5.55% mark, for now at least.
  • Although the move has been swift and sharp (terminal rate pricing hovered around 4.90% at the start of last week), terminal rate pricing remains shy of the levels witnessed in the time of former PM Truss (when such pricing topped 6.00%).
  • The highest terminal rate call that we have seen from the sell-side is 5.25%.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-234.747+32.0
Aug-235.062+63.4
Sep-235.288+86.1
Nov-235.425+99.7
Dec-235.442+101.5
Feb-245.412+98.4
Mar-245.355+92.7

Source: MNI - Market News/Bloomberg

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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