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Pricing of BoE '24 Cuts Briefly Moves Beyond Nov Extreme

STIR

The softer-than-market consensus run of AWE data released/covered earlier today keeps dovish momentum in play, limiting pullbacks, with a fresh round of receiver-side activity seen alongside the latest round of gilt ricehening.

  • Markets continue to near enough fully discount the first 25bp BoE rate cut come the end of the June ~24 MPC.
  • Further out, the market briefly moved beyond the mid-November extreme re: total '24 cuts priced, before edging away from the most dovish levels of the session. Last print shows ~85bp of cuts for '24 on the whole vs. a little over 86bp at one point today.
  • U.S. CPI presents the obvious macro risk event during the remainder of Today's session.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Dec-235.206+1.9
Feb-245.216+2.8
Mar-245.173-1.4
May-245.076-11.1
Jun-244.947-24.1
Aug-244.777-41.0
Sep-244.628-56.0
Nov-244.465-72.3
Dec-244.337-85.1
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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