Short Sterling strip extends.........>

SHORT-STERLING: Short Sterling strip extends gains, and generally at record

highs, as the street continues to price negative rates for the UK. Also plenty

of Rate cuts punts via options of late. Money markets as reported have moved

expectations to February 2021, and we start to see similar moves in OIS.

Meeting     OIS   bp Priced In  Cuts (10bp) 

18 Jun 20  0.061 - 0.7          -0.07 

06 Aug 20  0.043 - 2.5          -0.25 

17 Sep 20  0.029 - 3.9          -0.39 

05 Nov 20 -0.004 - 7.2          -0.72 

17 Dec 20 -0.017 - 8.5          -0.85 

04 Feb 21 -0.044 - 11.2         -1.12 

18 Mar 21 -0.046 - 11.4         -1.14 

06 May 21 -0.047 - 11.5         -1.15 

24 Jun 21 -0.047 - 11.5         -1.15 

05 Aug 21 -0.065 - 13.3         -1.33