Before the Bank Of England's March Bank Rate decision, the swaps market saw only 14bps of easing by June while an August rate cut was the first fully priced in
We will not get into the specifics of the BoE March decision but the market has interpreted a shift in communications while the vote came in less hawkish than the prior meeting
An August rate cut remains on the table while the June tenor has seen a sharp addition of dovish bets. As of the time of writing, markets now see a little more than 20bps of easing by June
BoE pricing has spread into FX, spot sterling dipped to below 1.26 while the premium to own GBP/USD downside protection has increased. 1m risk reversals have moved 23bps in favour of puts to near 0.5 vol
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