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Unchanged BoE Rate Steepens BoE Pricing, 20bp Of Further Rightening Now Seen

STIR

BoE-dated OIS comes in as the Bank leaves policy rate unchanged, with a steepening impulse as the market removes pre-decision pricing of a hike for today (which was the slightly favoured outcome pre-decision).

  • Liquid contracts now show -11bp to +4bp on the day. Twist steepening.
  • Terminal policy rate pricing indicates ~20bp of cumulative hikes from here vs. just over 25bp pre-decision, still pricing a roughly 4 in 5 chance of another hike despite today’s hold.
  • Ahead of the decision we suggested that no hike with unchanged guidance would result in a more meagre 10bp of tightening being reflected in terminal rate pricing.
  • The narrow 5-4 vote split will have prevented this adjustment from taking place, along with some the comments from the Bank. The combination of the two points to a ‘hawkish hold.’
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Sep-235.204+1.9
Nov-235.301+11.6
Dec-235.355+17.0
Feb-245.383+19.8
Mar-245.382+19.7
May-245.362+17.7
Jun-245.317+13.2
Aug-245.234+4.9
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageBank Of England (BOE) Market NewsBulletMarketsFixed Income BulletsForeign Exchange Bullets
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageBank Of England (BOE) Market NewsBulletMarketsFixed Income BulletsForeign Exchange Bullets

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