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Terminal Bank Rate of 4.50% almost fully priced

SONIA
  • SONIA futures price in a more aggressive BOE policy in response to the beat in US CPI (note that UK CPI is due for release at 7:00BST tomorrow morning).
  • 70bp now priced for next week, up 3bp prior to the release and up 4bp relative to yesterday's close.
  • 196bp priced by year-end, up 8bp post-release and up 9bp on the day.
  • Terminal rate of 4.50% almost fully priced - with 274bp priced by June 2023 up from 256bp at yesterday;s close and up around 13bp post-US CPI.

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