Free Trial

Light Twist Steepening Of BoE OIS Strip

STIR

BoE-dated OIS is off dovish session extremes with core global FI moving away from early London highs.

  • The liquid contracts generally trade within 1-2bp of Friday’s closing levels, showing 28bp of tightening for next month’s MPC meeting, while terminal policy rate pricing lies just above 5.90%.
  • The strip twist steepens on the day.
  • Notable long weekend news flow came in the form of BoE’s Broadbent, who delivered the higher for longer warning re: interest rates. He was also cognisant of the two-way risk surrounding the BoE’s tightening cycle i.e. may have done too much or may need to do more.
  • Cooling shop price inflation was noted overnight, with a moderation in food price inflation helping the BRC shop price index to tick down to (a still elevated) 6.9% Y/Y in August vs. the 7.6% seen in July.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Sep-235.466+28.0
Nov-235.650+46.5
Dec-235.775+59.0
Feb-245.837+65.2
Mar-245.844+65.9
May-245.819+63.3
Jun-245.777+59.1
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.