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Sep-26 06:50
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STIR: SONIA Futures Play Catch-up As UK Markets Return From Bank Holiday
Aug-27 06:49
SONIA futures have opened -1.0 to -3.5 ticks through the blues, catching up with yesterday’s light sell-off in Euribor/SOFR.
- There are 41bps of easing priced through year-end, a touch below the 42bps seen on Friday afternoon post-Powell/Bailey’s Jackson hole speeches.
- A reminder that Bailey re-iterated the August MPS guidance in his remarks, endorsing a “steady course” for monetary policy.
- Overnight, the BRC shop-sales index fell 0.3% Y/Y (vs 0.2% prior), with “retailers discounting heavily to shift their summer stock”, particularly in clothing and household goods.
- Today’s regional calendar includes CBI distributive trades data, while PM Starmer is set to speak today ahead of Parliament’s re-opening next week.
| Meeting Date | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
| Sep-24 | 4.905 | -4.5 |
| Nov-24 | 4.681 | -26.9 |
| Dec-24 | 4.543 | -40.7 |
| Feb-25 | 4.343 | -60.7 |
| Mar-25 | 4.197 | -75.3 |
| May-25 | 4.031 | -91.9 |
| Jun-25 | 3.942 | -100.8 |
| Aug-25 | 3.826 | -112.4 |
| Source: MNI/Bloomberg | ||
USD: A steadier early session in G10s
Aug-27 06:48
- It is a steadier session in G10 FX, the Dollar was mostly flat against the NOK, CHF, SEK, CAD, GBP and the EUR.
- The Kiwi is still in the lead going into the European Cash Govie open, up 0.34%, but NZDUSD didn't manage to break Friday's post Powell high of 0.6237 Yesterday, which was also the highest printed level since January.
- NZDUSD tested a 0.6233 high Yesterday, and 0.6227 high so far today.
- Cable remains within Yesterday's tight range of 1.3179/1.3223 (low/High), around the 1.3200 figure.
- The USDJPY continues to recover from Yesterday's low, which was also a 14 days low, supported by the small move higher in Yields Yesterday going into today.
- Small resistance moves down to 145.30, but a test all the way up to 146.25 is required to reverse Fed Powell sell off.
BONDS: US and UK rolls
Aug-27 06:35
ROLL PACE:
- Ultra: 65%.
- TBond: 65%.
- Ultra 10: 52%.
- TYA: 54%.
- FVA: 63%.
- TUA: 62%.
The UK will be back today, and given that Gilt was closed, expect the large majority of the Volumes to be spread related ahead of the first notice on Thursday.
