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Futures Rally On U.S. Data, Recent Highs Intact

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The softer-than-expected U.S. retail sales data provides a catalyst after a relatively limited morning session for SONIA futures.

  • Contracts last trade +0.25 to +5.0, at/a little below U.S. data-driven session highs.
  • Zooming out, recent range highs remain intact across the strip.
  • BoE-dated OIS shows ~43bp of cuts through ’24 vs. ~40bp earlier today.
  • Brightmine wage data will cross just after midnight, but it will be the latest round of monthly CPI data that generates the largest market reaction at Wednesday’s open.
  • The MNI markets team thinks that there are two-way risks to the key services CPI print, but downside risks outweigh upside risks, in our view.
  • Our full preview of that release can be found here.
  • Our preview of Thursday’s BoE decision will be released in the coming hours.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.197-0.3
Aug-245.093-10.7
Sep-245.007-19.3
Nov-244.873-32.7
Dec-244.770-43.0
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The softer-than-expected U.S. retail sales data provides a catalyst after a relatively limited morning session for SONIA futures.

  • Contracts last trade +0.25 to +5.0, at/a little below U.S. data-driven session highs.
  • Zooming out, recent range highs remain intact across the strip.
  • BoE-dated OIS shows ~43bp of cuts through ’24 vs. ~40bp earlier today.
  • Brightmine wage data will cross just after midnight, but it will be the latest round of monthly CPI data that generates the largest market reaction at Wednesday’s open.
  • The MNI markets team thinks that there are two-way risks to the key services CPI print, but downside risks outweigh upside risks, in our view.
  • Our full preview of that release can be found here.
  • Our preview of Thursday’s BoE decision will be released in the coming hours.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.197-0.3
Aug-245.093-10.7
Sep-245.007-19.3
Nov-244.873-32.7
Dec-244.770-43.0