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New Cycle Lows For SFIH5 Through U5

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SONIA futures remain under pressure alongside wider core global FI markets, with contracts last trading flat to -13.0 through the blues.

  • The strip is steeper on the day.
  • SFIH5, M5 & U5 have registered fresh cycle lows today.
  • BoE-dated OIS shows just under 30bp of cuts through year end, with ~50/50 odds of a 25bp cut priced through the Sep MPC.
  • As noted elsewhere, local headline flow has been fairly non-existent today, leaving broader market moves at the fore.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.200-0.1
Aug-245.126-7.4
Sep-245.074-12.6
Nov-244.964-23.7
Dec-244.907-29.3
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SONIA futures remain under pressure alongside wider core global FI markets, with contracts last trading flat to -13.0 through the blues.

  • The strip is steeper on the day.
  • SFIH5, M5 & U5 have registered fresh cycle lows today.
  • BoE-dated OIS shows just under 30bp of cuts through year end, with ~50/50 odds of a 25bp cut priced through the Sep MPC.
  • As noted elsewhere, local headline flow has been fairly non-existent today, leaving broader market moves at the fore.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.200-0.1
Aug-245.126-7.4
Sep-245.074-12.6
Nov-244.964-23.7
Dec-244.907-29.3