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As we have noted elsewhere, the UK long end remains relatively insulated from the recent swings in bonds across the Atlantic, with the same holding true for the short end.

  • Local headline flow has been light since this morning’s flash PMI releases.
  • SONIA futures sit +0.5 to -3.5 through the blues, with a slight twist steepening remaining evident.
  • BoE-dated OIS gravitates around familiar markers, fully pricing the first 25bp cut come the end of the Aug ’24 MPC, while ~65bp of cuts are showing through ’24.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Mar-245.201+1.2
May-245.160-2.9
Jun-245.069-12.0
Aug-244.929-26.0
Sep-244.809-38.0
Nov-244.651-53.8
Dec-244.534-65.5
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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