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Dovish Repricing Of BoE Terminal Extends Ahead Of Weekend, Although Off Session Extremes

STIR

BoE-dated OIS is off dovish session extremes flagged earlier, with core global FI also off best levels.

  • That leaves ~21.5bp of tightening showing for this month’s MPC meeting, with a cumulative ~41.5bp of tightening showing for the current cycle.
  • Early London trade saw an extension of the recent post-BoE speak/DMP dovish repricing, as we flagged at the time.
  • Markets were unwilling to push pricing below ~20bp of tightening for this month and below ~40bp of cumulative tightening for the current cycle, at least on a sustainable/meaningful basis.
  • Local headline flow has been fairly limited, outside of the latest REC survey (released overnight) pointing to continued softening in the labour market.
  • Focus is on next week’s labour market report.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Sep-235.402+21.6
Nov-235.528+34.2
Dec-235.583+39.8
Feb-245.601+41.6
Mar-245.601+41.6
May-245.572+38.7
Jun-245.525+34.0
Aug-245.454+26.9
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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