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Light Twist Steepening Of BoE OIS Strip


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)
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