SONIA futures are flat to -3.5 through the blues, with core global bond futures off yesterday’s highs.
- BoE-dated OIS returns to familiar territory after yesterday’s volatility, showing 63bp of cuts for ’24 and nearly fully discounting the first 25bp rate cut come the end of the Aug ’24 MPC.
- UK STIRs are comfortably off yesterday’s cycle extremes.
- Fiscal speculation continues to dominate, with the latest report suggesting that Chancellor Hunt has ruled out a stamp duty cut re: the housing market, given inflationary risks.
- Discussions surrounding incoming BoE Deputy Governor Lombardelli continue, with most pointing to hawkish risks given her previous work. We still see August as the most likely timing of the first rate cut.
- Elsewhere, Nationwide house price data was firmer than expected, with the Y/Y reading moving back into positive territory for the first time since January ’23.
- Final manufacturing PMI data and comments from BoE’s Pill are due on Friday.
| BoE Meeting | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
| Mar-24 | 5.201 | +1.3 |
| May-24 | 5.159 | -2.9 |
| Jun-24 | 5.086 | -10.2 |
| Aug-24 | 4.945 | -24.3 |
| Sep-24 | 4.829 | -35.9 |
| Nov-24 | 4.672 | -51.6 |
| Dec-24 | 4.557 | -63.1 |
