June 27, 2024 15:02 GMT
Modest Hawkish Moves Reverse On U.S. Data
STIR
SONIA markets also see a dovish adjustment in the wake of the U.S. data.
- This morning’s modest hawkish move reverses.
- BoE-dated OIS contracts are now little changed to 1bp more dovish on the day.
- ~14.5bp of cuts are priced for the August meeting, while ~43bp of cuts are showing through year end.
- SONIA futures are flat to +1.0.
- Final Q1 UK GDP data is due tomorrow, but that shouldn’t be a major market mover.
- More focus is set to fall on spill over from European national CPI and U.S. PCE data.
| BoE Meeting | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
| Aug-24 | 5.054 | -14.6 |
| Sep-24 | 4.996 | -20.4 |
| Nov-24 | 4.861 | -33.9 |
| Dec-24 | 4.769 | -43.1 |
| Feb-25 | 4.635 | -56.5 |
| Mar-25 | 4.547 | -65.3 |
| May-25 | 4.429 | -77.1 |
| Jun-25 | 4.344 | -85.6 |
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