How to calculate Bank of England rate probabilities from SONIA futures

There is no single Bank of England version of the CME FedWatch tool, but you can build the same number yourself from SONIA futures. The cleanest route is the MPC-dated SONIA futures contract, which settles to compounded SONIA over the window between two consecutive Monetary Policy Committee meetings. Read the implied average rate off the price, compare it to the current rate, and the gap is the market-implied probability of a move.

As of 17 June 2026 the Bank Rate is 3.75%, held at the 30 April meeting on an 8-1 vote, with the next MPC decision due on 18 June 2026. Here is how to turn a futures price into a probability for that meeting, and the one trap that catches most people who try it with the wrong contract.

Why SONIA, and which contract

SONIA is the sterling overnight benchmark the Bank of England publishes every London morning. It tracks Bank Rate closely, historically fixing a few basis points below it, so the market uses SONIA futures to price the expected path of Bank Rate itself.

Two contracts matter. The liquid three-month SONIA future settles to compounded SONIA over a three-month period. The MPC-dated SONIA future settles to compounded SONIA over the span from one MPC meeting to the next. For meeting-by-meeting probabilities you want the MPC-dated contract, for a reason that becomes obvious in a moment.

The formula

The arithmetic mirrors the fed funds calculation: a rate-probability tool reads the market's expected post-meeting rate, then measures how far that sits from the current rate relative to a standard 25 basis point move.

P(25bp move) = (current rate - implied post-meeting rate) / 0.25

Because an MPC-dated contract covers exactly the span between two meetings, its implied average rate is already the post-meeting rate for the decision at the start of that span. No day-weighting required. That is the whole appeal.

The trap: three-month SONIA

Reach for the liquid three-month contract instead and its window straddles meeting dates. The settlement rate becomes a blend of pre- and post-meeting rates, day-weighted across however many meetings fall inside the quarter, the same day-weighting the FedWatch method needs, but stacked across several decisions at once. Most wrong BoE probability numbers come from skipping this step. The MPC-dated contract sidesteps it entirely.

A worked example

Suppose that for the period beginning with the 18 June 2026 meeting, the MPC-dated SONIA contract trades at a price implying an average SONIA of 3.65%. The 3.75% Bank Rate and the meeting date are real, as of 17 June 2026; the contract price here is illustrative.

SONIA has lately been fixing near 3.70%, a touch below the 3.75% Bank Rate, so treat that as the pre-meeting rate. A 25bp cut would take Bank Rate to 3.50% and SONIA to roughly 3.45%. The contract's implied 3.65% sits between the two outcomes.

P(25bp cut) = (3.70 - 3.65) / 0.25 = 0.20

So this contract implies about a 20% chance of a cut at that meeting and an 80% chance of a hold. Had the implied average been 3.58%, the same arithmetic gives (3.70 - 3.58) / 0.25, about 48%, a near coin-flip.

Adjust for the SONIA-Bank Rate spread

One honest wrinkle: you are pricing SONIA, not Bank Rate directly. SONIA typically fixes a few basis points under Bank Rate, and that spread drifts over time. For a clean probability, subtract the recent average spread from your implied SONIA before comparing it to the current Bank Rate, or run the whole calculation in SONIA terms as above. Ignore the spread and you bias the probability by exactly the spread divided by 0.25, small, but real.

Check your answer

The Bank of England publishes its own market-implied path for Bank Rate in each Monetary Policy Report, conditioned on this same family of instruments. After you compute a probability, compare your implied path against the Bank's published one for a nearby date. A gap of more than a few basis points usually means a contract or spread error on your side, not a market disagreement.

[QUADESTO-EMBED: BoE rate-probability ladder from MPC-dated SONIA futures, one bar per upcoming MPC meeting, hover shows implied rate and P(cut/hold/hike)]

Skip the arithmetic

Quadesto builds this view from the futures data directly: point it at the MPC-dated SONIA curve and it returns the meeting-by-meeting probability ladder, spread-adjusted, using the same methodology behind the US trackers we rebuilt earlier, FedWatch and the Atlanta Fed Market Probability Tracker. The free tier embeds it with a Made with Quadesto credit; Pro removes the attribution and adds branded themes.