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Futures underperform following strong wage data

SONIA
  • SONIA futures are the underperformers this morning in G3 STIR space - with Whites/ Reds down around 9.5-10.5 ticks following the higher-than-expected labour market print. This is in contrast to the moves of up to 3.5 ticks lower across Euribor and SOFR futures.
  • Markets now price around 27bp for the September MPC meeting - up from around 23bp at yesterday's close.
  • The peak is now around 73bp in March 2024 - up from around 63bp at yesterday's close and around 56bp at the end of last week.

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