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SONIA Futures Rally In Wake Of Weak Retail Sales, A Little Under 35bp Of '24 Cuts Priced

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SONIA futures are flat to +5.0, supported by much weaker than expected domestic retail sales data (including negative revisions).

  • Still, the space has faded from initial highs, with the data doing little to alter the near 0 odds of a cut come the end of the June MPC (based on market pricing).
  • This week’s CPI and the calling of a July 4 election have helped unwind effectively all of the easing that was priced for June.
  • A reminder that a June cut was more or less 50% discounted heading into the latest round of UK CPI data.
  • ~33.5bp of ’24 cuts are priced vs. a little over 50bp ahead of April’s CPI data.
  • Elsewhere, the fall in the energy price cap generally matched a closely watched estimate provided by a market watcher in that space.
  • The UK calendar is slim today, with London participants eying the long weekend (SONIA and gilt markets will be closed on Monday).
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.197-0.3
Aug-245.117-8.3
Sep-245.045-15.5
Nov-244.941-25.9
Dec-244.864-33.6
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SONIA futures are flat to +5.0, supported by much weaker than expected domestic retail sales data (including negative revisions).

  • Still, the space has faded from initial highs, with the data doing little to alter the near 0 odds of a cut come the end of the June MPC (based on market pricing).
  • This week’s CPI and the calling of a July 4 election have helped unwind effectively all of the easing that was priced for June.
  • A reminder that a June cut was more or less 50% discounted heading into the latest round of UK CPI data.
  • ~33.5bp of ’24 cuts are priced vs. a little over 50bp ahead of April’s CPI data.
  • Elsewhere, the fall in the energy price cap generally matched a closely watched estimate provided by a market watcher in that space.
  • The UK calendar is slim today, with London participants eying the long weekend (SONIA and gilt markets will be closed on Monday).
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Jun-245.197-0.3
Aug-245.117-8.3
Sep-245.045-15.5
Nov-244.941-25.9
Dec-244.864-33.6