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Bulk Of Dovish Repricing On BoE Strip Holds

STIR

BoE-dated OIS hovers a little off of dovish session extremes, but remains comfortably off the dovish extremes that we have covered in detail in recent weeks, in light of last week's hawkish re-pricing.

  • The broader bid in core global FI markets, downtick in oil (which has partially reversed) and the market's pick and chose mantra surrounding this morning’s reiterations from BoE Governor Bailey have been the main market drives of note.
  • Terminal policy rate pricing on the BoE-dated Is strip is ~6bp above prevailing SONIA levels.
  • Beyond there, markets are now pricing near 90% odds of a 25bp cut come the end of the August ’24 MPC, given the dovish move seen today.
  • For ’24 on the whole, markets now show ~58bp of cumulative easing vs. current effective SONIA levels.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Dec-235.212+2.3
Feb-245.248+5.9
Mar-245.231+4.2
May-245.164-2.5
Jun-245.092-9.7
Aug-244.968-22.1
Sep-244.852-33.7
Nov-244.715-47.4
Dec-244.605-58.4
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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