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BoJ Spill Over Helps Provide Dovish Impetus For SONIA

STIR

SONIA futures run flat to +8.5 through the blues, while BoE-dated OIS is little changed to 2bp softer on the day through the gilt open.

  • BoE-dated OIS shows ~22bp of cuts through the May ’24 meeting, with the first full 25bp cut still more than fully discounted through the June '24 meeting.
  • ~116bp of cuts are priced through ’24.
  • Dovish spill over from the BoJ/JGB trade has featured early on.
  • PIMCO used an article in the FT to reiterate worry re: a ‘hard landing’ for the UK economy.
  • Lower tier local data and comments from BoE's Breeden are due today.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Feb-245.210+2.4
Mar-245.125-6.1
May-244.964-22.2
Jun-244.800-38.6
Aug-244.591-59.5
Sep-244.397-78.9
Nov-244.189-99.7
Dec-244.024-116.2
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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