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Terminal BoE Pricing Ticks Back Towards 6.30%

STIR

BoE-dated OIS sees a light steepening move with the liquid area of the strip little changed to 2.5bp higher alongside the previously outlined cheapening in Gilts. That leaves just over 45bp of tightening showing for the August MPC meeting, with terminal policy rate pricing show just below 6.30%, a touch shy of recent highs.

  • Outgoing BoE dove Tenreyro stuck to her usual script late yesterday.
  • Final UK Q1 GDP data was in line with prior estimates/expectations at a headline level, while the Q1 current a/c deficit was a touch wider than expected.
  • Cross-market flows will be eyed for the remainder of the week given the lack of local risk slated, with Eurozone CPI & U.S. PCE providing the major risk events ahead of the weekend.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Aug-235.386+45.8
Sep-235.762+83.4
Nov-236.035+110.7
Dec-236.182+125.4
Feb-246.220+129.2
Mar-246.212+128.4
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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