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Crude Weakness & Bond Bid Results In Dovish SONIA Repricing

STIR

The previously identified bid in wider core global FI markets and weakness in crude oil continues to provide a bid for SONIA futures, despite typically hawkish comments from BoE dissenter Greene during the London morning (which only had a modest and short-lived impact).

  • That leaves SONIA futures running flat to 13bp firmer on the session, with multi-month highs being tested/breached through the greens and blues.
  • A full 25bp cut is now essentially priced come the end of the June ’24 MPC, with ~79bp of cuts priced through calendar ’24. The Dec ’24 MPC contract is looking through yesterday’s dovish session extremes at typing.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Dec-235.210+2.3
Feb-245.215+2.8
Mar-245.156-3.1
May-245.048-13.9
Jun-244.939-24.8
Aug-244.799-38.8
Sep-244.663-52.4
Nov-244.515-67.2
Dec-244.396-79.1
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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