STIR
The move lower in the BoE's CPI projections and alteration in the vote split provide a contained dovish reaction for GBP STIRs, although the market pulls back from knee-jerk extremes.
- We suggested that the risk to market pricing likely laid with a dovish outcome ahead of the event.
- SONIA futures are now -0.75 to +4.5, with the back of the whites and front of the reds outperforming.
- BoE-dated OIS once again fully discounts a 25bp cut come the end of the August MPC, with ~58.5bp of cumulative cuts priced through ’24 vs.~54bp heading into the decision.
- June MPC pricing now shows ~12.5bp of cuts, or 50/50 odds of a cut come the end of the next MPC meeting.
| BoE Meeting | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
| May-24 | 5.211 | +1.1 |
| Jun-24 | 5.074 | -12.6 |
| Aug-24 | 4.930 | -27.0 |
| Sep-24 | 4.841 | -35.9 |
| Nov-24 | 4.716 | -48.4 |
| Dec-24 | 4.615 | -58.5 |
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