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Receiver-Side Flows In BoE Pricing On ECB Headlines

STIR

Receiver-side flows help BoE-dated OIS back to lower levels vs. yesterday’s close, with feedthrough from the comments made by ECB’s Vujcic (at an MNI event) taking the edge off the hawkish reaction seen in the wake of today’s U.S. CPI data.

  • ~121.5bp of BoE cuts are now priced through ’24, with ~5bp of further cuts priced over that horizon vs. least dovish levels seen post-U.S. CPI.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Feb-245.198+1.0
Mar-245.134-5.3
May-244.984-20.4
Jun-244.801-38.6
Aug-244.559-62.8
Sep-244.344-84.3
Nov-244.133-105.4
Dec-243.971-121.6
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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