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Early Dovish BoE Pricing Move Largely Reversed

STIR

The move away from best levels in core global FI markets has allowed the bulk of the early Thursday dovish flattening on the BoE-dated OIS strip to reverse.

  • That leaves the strip close to little changed on the session, with a very modest twist flattening bias in play (liquid contracts +0.5bp to -1.5bp).
  • ~28.5bp of tightening is showing for next month’s MPC, while terminal policy rate pricing edges back towards 5.90%.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Sep-235.471+28.5
Nov-235.656+47.0
Dec-235.770+58.4
Feb-245.826+64.0
Mar-245.817+63.1
May-245.783+59.7
Jun-245.728+54.2
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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