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SONIA Futures Hold Higher In Wake Of U.S. Data

STIR

SONIA futures also tick back from initial post-U.S. data highs but are still mostly firmer on the day. Contracts are last flat to +9.5, with the late reds and early greens leading the move.

  • SFIZ5 & Z6 hit fresh muti-week highs before the fade away from best levels.
  • BoE dated OIS shows 13bp of cuts through the June MPC and ~58.5bp of cuts through year end, with ’24 contracts running 1.0-3.5bp softer on the day.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.072-12.8
Aug-244.941-25.9
Sep-244.840-36.0
Nov-244.710-49.0
Dec-244.614-58.6
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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