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SONIA Futures Little Changed, Just Over 30bp Of '24 BoE Cuts Priced

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SONIA futures are -1.0 to +1.0 through the blues, with a light twist flattening bias.

  • BoE-dated OIS is little changed to 1bp softer, showing a little over 50/50 odds of a cut through the Sep MPC and ~31.5 of cuts through year end, holding within the hawkish end of the recent range, but off extremes.
  • Core global FI markets seem to have stabilised after Friday’s late pressure, with TY and Bund futures back towards Friday’s best levels.
  • Headline flow was scarce during Friday's pullback.
  • Pre-election political posturing continues to dominate UK news flow, with most BoE appearances cancelled through the July 4 election (policy meetings will take place as scheduled).
  • A reminder that late Friday saw the Citi/YouGov year ahead inflation expectations metric moderate to +3.1%, representing the lowest level since July 2021. Longer run inflation expectations also fell, hitting the joint lowest level seen since March ’21.
  • Final UK manufacturing PMI data is due today.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.200+0.0
Aug-245.124-7.6
Sep-245.066-13.4
Nov-244.956-24.4
Dec-244.884-31.6
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SONIA futures are -1.0 to +1.0 through the blues, with a light twist flattening bias.

  • BoE-dated OIS is little changed to 1bp softer, showing a little over 50/50 odds of a cut through the Sep MPC and ~31.5 of cuts through year end, holding within the hawkish end of the recent range, but off extremes.
  • Core global FI markets seem to have stabilised after Friday’s late pressure, with TY and Bund futures back towards Friday’s best levels.
  • Headline flow was scarce during Friday's pullback.
  • Pre-election political posturing continues to dominate UK news flow, with most BoE appearances cancelled through the July 4 election (policy meetings will take place as scheduled).
  • A reminder that late Friday saw the Citi/YouGov year ahead inflation expectations metric moderate to +3.1%, representing the lowest level since July 2021. Longer run inflation expectations also fell, hitting the joint lowest level seen since March ’21.
  • Final UK manufacturing PMI data is due today.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.200+0.0
Aug-245.124-7.6
Sep-245.066-13.4
Nov-244.956-24.4
Dec-244.884-31.6