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BoE-Dated Pricing A Little Over 60bp Of '24 Cuts, Risk Events Due Later This Week

STIR

SONIA futures are unchanged to 2bp higher, with Bund futures little changed vs. levels seen at yesterday’s gilt settlement.

  • BoE-dated OIS shows ~64bp of ’24 cuts, little changed on the day.
  • Note that BoE-dated OIS hasn’t been able to move to fresh ’24 extremes even as Fed rate cut premium is reduced.
  • Core global FI futures initially firmed after the BoJ delivered its well telegraphed rate hike, before fading back to pre-decision levels.
  • UK headline flow has been fairly limited, with some focus on Shadow Chancellor Reeves’ Tuesday address re: economic plans.
  • Tomorrow’s CPI release and Thursday’s BoE decision provide the highlights of this week’s domestic calendar, with no tier 1 risk events scheduled for today.
  • Expect our CPI & BoE previews later today.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Mar-245.204+1.5
May-245.168-2.2
Jun-245.074-11.5
Aug-244.932-25.7
Sep-244.816-37.3
Nov-244.663-52.7
Dec-244.546-64.3
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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