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BoE-Dated OIS Still Shows A Little Under 50bp Of '24 Cuts, Pill & Mann Eyed

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SONIA futures are flat to +3.5, off early highs, with Bunds trading on the front foot as a dovish RBNZ outcome allows wider core global FI to rally a little.

  • ~13.9K of the SFIU4/Z4 spread was blocked at -23.5 late yesterday, we would guess that was a buyer.
  • BoE-dated OIS through mid ’25 meetings see dovish moves of 0.5-2.0bp. ~15bp of cuts are priced through August, with ~48bp showing through year end.
  • Comments from BoE’s Pill & Mann will headline today.
  • We will provide greater colour on those appearances shortly.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Aug-245.052-14.9
Sep-244.972-22.8
Nov-244.814-38.6
Dec-244.720-48.0
Feb-254.580-62.0
Mar-254.486-71.4
May-254.361-83.9
Jun-254.275-92.5

Source: MNI - Market News/Bloomberg. 2025 meeting dates are estimated.

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SONIA futures are flat to +3.5, off early highs, with Bunds trading on the front foot as a dovish RBNZ outcome allows wider core global FI to rally a little.

  • ~13.9K of the SFIU4/Z4 spread was blocked at -23.5 late yesterday, we would guess that was a buyer.
  • BoE-dated OIS through mid ’25 meetings see dovish moves of 0.5-2.0bp. ~15bp of cuts are priced through August, with ~48bp showing through year end.
  • Comments from BoE’s Pill & Mann will headline today.
  • We will provide greater colour on those appearances shortly.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Aug-245.052-14.9
Sep-244.972-22.8
Nov-244.814-38.6
Dec-244.720-48.0
Feb-254.580-62.0
Mar-254.486-71.4
May-254.361-83.9
Jun-254.275-92.5

Source: MNI - Market News/Bloomberg. 2025 meeting dates are estimated.