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Local Lower Tier Inflation Data Helps Bias BoE Pricing Lower

STIR

The previously alluded to BRC shop price index data has helped support the UK short end.

  • Liquid BoE-dated OIS contracts are 0.5-4.5bp softer, with the strip flattening.
  • Terminal policy rate pricing remains comfortably tilted to the idea of one further rate hike in the cycle, residing ~20bp above prevailing levels, centred on the Bank’s Feb ’24 meeting.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Nov-235.283+9.7
Dec-235.350+16.3
Feb-245.385+19.8
Mar-245.383+19.6
May-245.339+15.2
Jun-245.295+10.8
Aug-245.221+3.4
Sep-245.124-6.3
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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