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Overnight Index Swap

UK

Pretty tight range and lower volumes for the Short Sterling strip today.

  • Contract trades circa 3 ticks below the record highs achieved yesterday, following the MNI BoE exclusive on negative rates.

Looking at Bloom OIS, pricing a 10bps cut in May

  • Meeting ----- Rate ∆
  • 02/04/2021 -0.012
  • 03/18/2021 -0.034
  • 05/06/2021 -0.076
  • 06/24/2021 -0.059
  • 08/05/2021 -0.101
  • 09/23/2021 -0.116
  • 11/04/2021 -0.126
  • 12/16/2021 -0.132

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