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Futures keep moving higher

  • Following the dovish BoE announcement, SONIA futures continue to move higher with Jun22 to Mar23 all up more than 25 ticks post-decision.
  • Markets still pricing in 34bp for the May meeting (fully pricing 25bp with around 25% probability of a 50bp hike).
  • 121bp is cumulatively priced for the remainder of 2022. There had been 147bp cumulative more hikes this year when adjusted for today's hike around an hour ahead of the decision. So just over a whole 25bp hike has been priced out the curve by year-end, with markets looking for Bank Rate of just below 2.00%. This is still significantly higher than the economist consensus going into the meeting of 1.25%, but the lowest implied-market rate since 8 March.

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