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CORRECT: SONIA Twist Flattens Early This Week

STIR

***Corrects refence to date of release re: CPI data***


SONIA futures are -2.0 to +1.5 through the blues as the strip twist flattens.

  • Core global bond futures are in line with/a little below levels seen at the time of Friday’s SONIA settlement window.
  • Continued digestion of the BoE’s Q124 APF sales schedule (see more in our earlier bullets) are set to dominate early UK FI price action early this week.
  • BoE-dated OIS is little changed through ’24 contracts, showing ~113.5bp of cuts over that horizon, with the first 25bp cut more than fully discounted through the end of the June ’24 MPC (~75% odds of such a move are priced through the end of the March MPC).
  • Comments from BOE Deputy Governor Broadbent (10:30 London) headline the domestic docket ahead of Wednesday's monthly inflation print.
  • A reminder that stickiness re: UK wage and inflation pressures have been a driving factor for the wedge between UK STIR pricing vs. the U.S. and European equivalents (albeit with some narrowing observed there recently).
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Feb-245.217+3.1
Mar-245.159-2.7
May-245.006-18.0
Jun-244.830-35.6
Aug-244.619-56.7
Sep-244.421-76.5
Nov-244.215-97.1
Dec-244.049-113.7
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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