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Contained BoE Pricing Moves During ECB

STIR

The initial ECB and U.S. data reaction allowed BoE-dated OIS to briefly fully discount the first 25bp cut come the end of the Bank’s June meeting. ~65bp of cuts were showing through year end.

  • ~23.5bp of BoE cuts are now priced through June and ~63bp by year end.
  • Familiar ranges intact.
  • The initial dovish move was limited as ECB President Lagarde stressed the need to see a lot more data and information re: progress on inflation and highlighted the Bank’s data dependence.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Mar-245.200+1.2
May-245.173-1.6
Jun-245.089-10.0
Aug-244.955-23.3
Sep-244.842-34.6
Nov-244.685-50.4
Dec-244.561-62.7
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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