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Global Matters Weigh On SONIA Futures

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SONIA futures also tick lower given the lead from U.S. Tsys & Australian CPI data, last 0.5-4.5 lower.

  • BoE-dated is little changed to ~3bp firmer across ’24 contracts, leaving ~90% odds of a cut priced through the end of the August MPC.
  • Beyond there, just over 50bp of cumulative ’24 cuts are priced.
  • Familiar ranges remain in play across the strip.
  • CBI trends data headlines the UK calendar today, but that shouldn’t be a market mover.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
May-245.195-0.4
Jun-245.102-9.7
Aug-244.973-22.6
Sep-244.893-30.6
Nov-244.776-42.3
Dec-244.698-50.1
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SONIA futures also tick lower given the lead from U.S. Tsys & Australian CPI data, last 0.5-4.5 lower.

  • BoE-dated is little changed to ~3bp firmer across ’24 contracts, leaving ~90% odds of a cut priced through the end of the August MPC.
  • Beyond there, just over 50bp of cumulative ’24 cuts are priced.
  • Familiar ranges remain in play across the strip.
  • CBI trends data headlines the UK calendar today, but that shouldn’t be a market mover.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
May-245.195-0.4
Jun-245.102-9.7
Aug-244.973-22.6
Sep-244.893-30.6
Nov-244.776-42.3
Dec-244.698-50.1