Move Higher In Bond Yields Helps BoE-Dated OIS Steeper

The general drift higher in core global FI yields has helped BoE-dated OIS to nudge away from the dovish extremes seen at the back end of last week.

• Liquid contracts are little changed to ~5bp firmer on the session, as the strip steepens.
• Still, terminal policy rate pricing remains tilted towards the idea of no further hikes in the current cycle, with ~8bp of further tightening currently priced through the Feb ’24 MPC.
• Beyond there, the first 25bp cut is not fully priced until the end of the Bank’s Sep ’24 meeting (vs. current effective SONIA rate levels).
• As noted elsewhere, comments from BoE chief economist Pill are set to dominate the local docket today. Pill will participate in a Q&A session on the latest monetary policy report, which, when coupled with the fact that he spoke at the back end of last week, probably limits the scope for fresh, meaningful information.