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SONIA Futures Rally Aggressively On U.S. CPI, 41bp Of BoE Cuts Showing Through Year End

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The aggressive post-U.S. CPI move higher in SONIA futures extends further, with contracts last flat to +16.5 as the late reds and early greens lead the rally.

  • SFIZ4 prints the highest level seen since May 22, while SFIZ5 is ~3.5bp away from closing the opening gap lower that was seen on the same day.
  • BoE-dated OIS now shows ~41bp of cuts through year end vs. ~34bp ahead of the data.
  • 19bp of cuts are priced through the Sep MPC, representing just over 75% odds of a cut through that juncture.
  • Wider macro matters continue to dominate, with today’s monthly UK GDP data and political soundbites failing to impact markets.
  • GBP STIR markets continue to trade with a high beta to broader core global STIR markets, with the BoE’s pre-election quiet period (outside of scheduled meetings) likely heightening GBP STIR sensitivity to macro matters.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.198-0.2
Aug-245.090-11.1
Sep-245.011-18.9
Nov-244.881-31.9
Dec-244.793-40.7
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The aggressive post-U.S. CPI move higher in SONIA futures extends further, with contracts last flat to +16.5 as the late reds and early greens lead the rally.

  • SFIZ4 prints the highest level seen since May 22, while SFIZ5 is ~3.5bp away from closing the opening gap lower that was seen on the same day.
  • BoE-dated OIS now shows ~41bp of cuts through year end vs. ~34bp ahead of the data.
  • 19bp of cuts are priced through the Sep MPC, representing just over 75% odds of a cut through that juncture.
  • Wider macro matters continue to dominate, with today’s monthly UK GDP data and political soundbites failing to impact markets.
  • GBP STIR markets continue to trade with a high beta to broader core global STIR markets, with the BoE’s pre-election quiet period (outside of scheduled meetings) likely heightening GBP STIR sensitivity to macro matters.
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.198-0.2
Aug-245.090-11.1
Sep-245.011-18.9
Nov-244.881-31.9
Dec-244.793-40.7