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Initial BoE Move In SONIA Moderates

STIR

Considerations re: the totality of the post-BoE decision rhetoric (covered in detail elsewhere) and the U.S. data (weekly jobless claims & ULC) leaves SONIA markets off initial BoE knee jerk session extremes, as the initial takeaway provided a slightly hawkish reaction. SONIA futures sit -5.5 to +5.0, with the strip twist flattening. BoE-dated OIS is back to within a couple of bp of pre-BoE levels, showing 113bp of cuts through '24 (~5.5bp off post-BoE extremes). No tangible initial reaction to the latest BoE DMP survey prints.

BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Feb-245.201+1.3
Mar-245.167-2.2
May-245.050-13.8
Jun-244.886-30.2
Aug-244.667-52.1
Sep-244.458-73.0
Nov-244.228-96.0
Dec-244.058-113.0
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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