SONIA Futures Lower On Post-Close U.S. Move, Before Tick Off Lows For Core Bonds Cushions

SONIA futures slide lower in the wake of broader core global FI dynamics surrounding the poorly received 30-Year Tsy auction out of the U.S. and comments from Fed Chair Powell late on Thursday. Still, the early Friday move away from lows in Bunds and Tsys provides some cushion, with contracts generally sitting a little above worst levels.

• That leaves futures running flat to 6.5bp softer through the blues, with the strip steepening.
• Similarly, BoE-dated OIS contracts sit little changed to 4.5bp firmer on the day.
• In terms of local news flow, the monthly run of GDP and production data shouldn’t be too much of a needle mover for markets, as we noted earlier.
• A quick reminder that Thursday saw the release of the latest RTRS poll re: the BoE. Consensus from the poll suggested that “the Bank will keep Bank Rate at 5.25% until at least July in an effort to combat high inflation, but participants did say the bigger risk for the first cut was it comes later than they expect.”
• The local docket is essentially empty to round off the week.