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Lack OF Dovish Follow Up From Pill & Softer Bonds Allows BoE Pricing To Nudge Higher

STIR

In terms of the exacts surrounding market pricing in the wake of the previously covered comments from BoE chief economist Pill, BoE-dated OIS last runs flat to ~5bp firmer on the day.

  • Weakness In core global FI markets will also be aiding the move.
  • ~8bp of tightening is priced through the Feb ’24 MPC, meaning that markets show just under 1/3 odds of a further 25bp rate hike in the current cycle.
  • Beyond there, the market no longer fully prices a 25bp cut for the August ’24 MPC (~22bp of easing is priced there vs. current effective SONIA), probably owing to the fact that Pill didn't reaffirm his Monday thoughts/comments re: a cut at that meeting/market pricing.
  • ~61bp of cumulative cuts are priced through ’24 at present.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Dec-235.236+4.9
Feb-245.267+8.0
Mar-245.242+5.5
May-245.166-2.1
Jun-245.084-10.3
Aug-244.966-22.1
Sep-244.833-35.4
Nov-244.696-49.1
Dec-244.576-61.1
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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