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BOE / ECB pricing post-Fed

STIR FUTURES

There have been some decent moves in Euribor and SONIA futures this morning following yesterday's FOMC meeting and ahead of the ECB/BOE meetings today.

  • Moves have been larger in the SONIA strip with Reds/ Greens up to 13 ticks higher on the day. In terms of BOE meeting pricing today's meeting is priced around 43bp at writing (from around 44bp yesterday) while cumulative March pricing is down from 73bp to 71bp. Expectations for the terminal rate are now down to a cumulative 89bp by June (from 97bp by August at Tuesday's close).
  • For the ECB, today's meeting remains fully priced for 50bp with a cumulative 95bp priced for March (little changed) while the terminal rate is now around 150bp by July. This is down from 153bp at yesterday's close ahead of the Fed but back to where we were on Tuesday's close.
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