Bulk Of Early Dovish Shift In BoE Pricing Holds

BoE-dated OIS holds the bulk of the early dovish shift, although continues to operate in familiar territory, running 2.5-7.5bp softer on the day as the strip flattens.

• We haven’t received anything in the way of meaningful domestic flow since the previously flagged BBG sources piece which suggested that “advisers to Chancellor of the Exchequer Jeremy Hunt are increasingly concerned that the Bank of England risks raising interest rates too much in the coming months, potentially pushing the UK into an unnecessary recession.” This story may have added some light pressure to the strip, building on the readthrough from the U.S. FOMC decision.
• ~35bp of tightening is showing for next week’s MPC meeting, as the contract flirts with the recent dovish extremes, with odds of a follow up 50bp hike retreating below 50%. Meanwhile, terminal rate pricing hovers a little above 5.90% after closing around 6.00% yesterday.
• The latest ECB decision provides the most meaningful macro risk event during the remainder of today’s session.