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FUTURES: Market pricing for BOE update

SONIA
  • 31.9bp priced for March (i.e. 25bp fully priced with 27% prob of 50bp)
  • 63.0bp price for May (i.e. cumulative 50bp fully priced, with 50% probablility of cumulative 75bp).
  • 75bp by June fully priced
  • 100bp by September full priced
SONIA futures.
  • Jun-22 contract biggest mover, down 20 ticks on the day.
  • Greens/Blues down up to 6.5 ticks.
  • Curve inverted from 2024 onwards.

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