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SONIA Futures Rally After Long Weekend, First BoE Cut Nearly Fully Priced For Aug

STIR
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SONIA futures are little changed to 6.5bp firmer through the blues, with the GBP short end mostly following core global STIR markets after a long weekend in London.

  • BoE-dated OIS moves to price ~55bp of '24 cuts, with the first 25bp move more or less fully discounted come the end of the August MPC.
  • Only lower tier UK data is due Tuesday, with Thursday’s BoE decision moving into view. Expect our full preview of that event later today.
  • UK headline flow has seen PM Sunak trying to remain relatively upbeat in the wake of last week’s local election losses.
  • Elsewhere, BRC sales like-for-like data for the month of April was much softer than expected. The majority of this decline was due to the earlier timing of Easter, with the BRC noting that the average growth for the combined period of March and April was +0.2% Y/Y.
  • Halifax house price data showed little M/M movement and isn’t usually a market mover.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
May-245.201+0.1
Jun-245.089-11.1
Aug-244.954-24.6
Sep-244.861-33.9
Nov-244.745-45.5
Dec-244.653-54.7
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SONIA futures are little changed to 6.5bp firmer through the blues, with the GBP short end mostly following core global STIR markets after a long weekend in London.

  • BoE-dated OIS moves to price ~55bp of '24 cuts, with the first 25bp move more or less fully discounted come the end of the August MPC.
  • Only lower tier UK data is due Tuesday, with Thursday’s BoE decision moving into view. Expect our full preview of that event later today.
  • UK headline flow has seen PM Sunak trying to remain relatively upbeat in the wake of last week’s local election losses.
  • Elsewhere, BRC sales like-for-like data for the month of April was much softer than expected. The majority of this decline was due to the earlier timing of Easter, with the BRC noting that the average growth for the combined period of March and April was +0.2% Y/Y.
  • Halifax house price data showed little M/M movement and isn’t usually a market mover.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
May-245.201+0.1
Jun-245.089-11.1
Aug-244.954-24.6
Sep-244.861-33.9
Nov-244.745-45.5
Dec-244.653-54.7