SONIA Futures Off Highs, Next Week's CPI Data & BoE Decision Coming Into View

The tick away from session highs in core global FI markets filters into the GBP short end.

• SONIA futures are little changed to +10.0.
• SFIZ4 is still well shy of its May highs, while SFIZ5 got within 3bp of its May peak and SFIZ6 tested its May high.
• BoE-dated OIS is actually printing ~0.5bp more hawkish over the next couple of meetings, while year end pricing is 2bp more dovish on the day.
• That leaves ~44bp of cuts showing through year end and ~80% odds of a 25bp cut through the Sep MPC, in line with levels we highlighted this morning.
• The dovish move stopped well before threatening 50bp of ’24 cuts.
• Next week will see focus fall on the latest round of monthly CPI data (Wednesday) and the BoE monetary policy decision (Thursday).
• CPI data may be more informative for the future path of monetary policy than the MPC decision.
• The early Bloomberg consensus looks for services CPI to slow to +5.5%Y/Y, still notably above the BoE’s forecast (+5.26%).
• However, we think there may be some downside risks to that releasee.
• We will publish our full previews of those events in due course.