September 27, 2022 12:00 GMT
- The Sep-23 SONIA contract has moved back above 94.20 and is heading back towards the 94.255 high seen earlier this morning. These levels imply a terminal Bank Rate a little above 5.75% (some 350bp higher than the current rate).
- The Sep-23 contract had traded as low as 93.695 yesterday so we are around 50 ticks off the lows, but we were trading above 95.0 after of the government's "Growth Plan" (fiscal statement).
- The Sep-22 contract is around 8 ticks off its high of the day at 96.87, but is still 35 ticks higher than yesterday's close. (And again over 50 ticks above yesterday's low).
- Further out the curve is reversing around 125-150bp of hikes from the peak but the curve remains inverted through the whole Red, Green and Blue strips.