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ED strip a little lower this morning


There was some downside pressure for Eurodollar futures this morning around 3:30BST but with little in the way of news to drive the moves.

  • The Eurodollar strip has seen the biggest moves in the Dec-22 and Mar-23 contracts, both of which are down 5 ticks since the NY close. Other Reds are down 3.0-4.5 ticks with smaller moves further out the strip. Markets now price in 47bp for the May Fed meeting with 94bp priced by June and 133bp by July (3 meetings). Year-end pricing is now 220p, up around 5bp from yesterday's close.
  • The Euribor strip is just a couple of ticks higher on the day. 30bp is now priced for September (up from around 27bp yesterday morning) with 60bp priced for year-end, up from 55bp yesterday morning.
  • The SONIA strip up just 1.0-1.5 ticks through most White and Red contracts, with little movement further out the curve. Markets pricing is little changed from yesterday morning with 29bp priced for May, a number that has been very gradually falling since the 35bp priced around 2 weeks ago. 53bp is priced for June with 100bp priced for September (4 meetings) and 137bp by year-end (6 meetings). The latter has been range-bound between 130-145bp for around 3 weeks now.

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