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Initial NFP-Induced Hawkish BoE Pricing Move Reverses As Bonds Base

STIR

The spill over from the U.S. NFP release initially allows the steepening on the BoE-dated OIS strip to extend further, before that move fades as the sell off in bonds finds a bit of a base.

  • Liquid contracts are now 0.5-5.5bp firmer on the day, generally sitting within 1bp of pre-NFP levels.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Nov-235.283+9.6
Dec-235.347+16.0
Feb-245.381+19.4
Mar-245.383+19.6
May-245.354+16.7
Jun-245.306+11.8
Aug-245.239+5.2
Sep-245.148-3.9
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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