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Decent risk-off moves


There have been some decent risk-off moves seen in STIR futures today, but the moves still tend to be a bit less headline-grabbing than FX - with multiyear USD strength being breached.

  • The Eurodollar futures strip has seen the biggest moves in G3 STIR futures with the Mar-23 up 11.5 ticks on the day and the rest of the strip at least 6 ticks higher on the day. Markets continue to price 73bp for the July FOMC meeting with 130bp priced for September. The curve becomes a lot more flat from Dec-22 onwards, with Dec-22 pricing 184bp and the higher implied part of the strip at 190bp in Mar-23. Thereafter, we see inversion.
  • The Euribor strip has seen moves up to 9 ticks higher (Dec-23 contract) with markets now pricing 29bp for the July ECB meeting, 82bp by September and 147bp by year-end. Unlike the Eurodollar and SONIA strips, the Euribor curve does not invert.
  • The SONIA strip has seen more modest moves, up to 4.5 ticks higher for the Mar-23 contract, leaving MPC pricing at 46bp for August, 91bp for September, 155bp by year-end and 187bp by May-23, before the curve inverts. The moves in the UK SONIA strip are probably largely due to the Tory leadership contest in which many of the candidates are promising tax cuts in the short-term (which would likely be inflationary).

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