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Just Under 40bp Of BoE Cuts Priced Through Year End

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HomepageBank Of England (BOE) Market NewsBulletMarketsFixed Income Bullets

SONIA markets little changed to start the day,

  • BoE-dated OIS shows 39bp of cuts through December, with a 25bp cut fully priced through November.
  • Market pricing seems relatively fair, having pulled back from early August dovish extremes and with the BoE non-committal when it comes to follow up rate cuts
  • Looking ahead, BoE Governor Bailey will speak from Jackson Hole (text 16:00 London, speech 20:00), which provides the focal point of the UK calendar ahead of the weekend.
  • Macro matters will dominate ahead of Bailey’s comments, with Fed Chair Powell’s Jackson Hole release eyed.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Sep-244.905-4.5
Nov-244.695-25.5
Dec-244.562-38.8
Feb-254.366-58.4
Mar-254.226-72.4
May-254.065-88.5
Jun-253.978-97.2
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SONIA markets little changed to start the day,

  • BoE-dated OIS shows 39bp of cuts through December, with a 25bp cut fully priced through November.
  • Market pricing seems relatively fair, having pulled back from early August dovish extremes and with the BoE non-committal when it comes to follow up rate cuts
  • Looking ahead, BoE Governor Bailey will speak from Jackson Hole (text 16:00 London, speech 20:00), which provides the focal point of the UK calendar ahead of the weekend.
  • Macro matters will dominate ahead of Bailey’s comments, with Fed Chair Powell’s Jackson Hole release eyed.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Sep-244.905-4.5
Nov-244.695-25.5
Dec-244.562-38.8
Feb-254.366-58.4
Mar-254.226-72.4
May-254.065-88.5
Jun-253.978-97.2