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UK CPI Steepens BoE OIS, Moves Contained

STIR

BoE-dated OIS sees some light twist steepening, with contracts -0.5bp to +3.0bp on the day.

  • The strip is off hawkish session extremes, which came on the back of firmer than expected UK CPI data.
  • While the data was a touch firmer than expected for September it wasn’t seen as a meaningful game changer for the BoE, given the major drivers of the firmer than expected prints were seemingly of a transient nature, representing a bit of a reversal after promoting last month’s softer than expected readings.
  • ~7bp of tightening is now showing for next month’s MPC decision, while terminal policy rate pricing sits ~17.5bp above prevailing levels, ~1bp off hawkish session extremes.
  • The move away from session highs in core global FI yields has helped BoE-dated OIS contracts to move off their own session highs.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Nov-235.254+6.7
Dec-235.326+13.9
Feb-245.360+17.3
Mar-245.361+17.4
May-245.331+14.4
Jun-245.293+10.6
Aug-245.232+4.5
Sep-245.148-3.9
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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