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Back to the lows of the day

STIR FUTURES

After a bit of a bounce as Europeans got to their desks, STIR futures are moving back to their lows of the day as North Americans start to get into the office.

  • The Eurodollar curve is back to pricing a 120% probability of a 25bp hike in March (i.e. 20% probability of a 50bp hike with a 25bp hike fully priced). 4.75 priced in this year (unchanged from the European open).
  • The SONIA strip sees a 95% probability of a February hike, up from 90% yesterday and down from 104% at today's open. 4 hikes now fully priced by September (yesterday by November).
  • The Euribor strip now fuly pricing the first 10bp hike in October (90% priced for September) but we have moved off the highs and no longer fully pricing 20bp for 2022.

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