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Bond Bid Allows Dovish BoE Pricing Move to Develop Further

STIR

The move away from session highs in gilt yields filters into UK STIRs.

  • That leave SONIA futures running 0.5-16.5bp richer through the blues, with the back end of the reds outperforming.
  • Meanwhile, liquid BoE-dated OIS contracts run 1.5-10.0 bp softer on the day, with the strip flattening.
  • Terminal policy rate pricing now sits 14bp above prevailing levels, with ~4.5bp of tightening priced for next month’s MPC.
  • A quick reminder that softer than expected retail sales data and some incrementally dovish commentary from BoE Governor Bailey re: no real surprises in the latest inflation data helped bias the strips in a dovish direction at the open.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Nov-235.233+4.6
Dec-235.294+10.6
Feb-245.326+13.8
Mar-245.328+14.0
May-245.294+10.6
Jun-245.245+5.7
Aug-245.177-1.1
Sep-245.099-8.9
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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