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Eurodollars lead STIR futures lower

STIR FUTURES
  • Eurodollar futures have seen the biggest reversal since yesterday's close with the Whites seeing the biggest moves (Sep-22 down 9.5 ticks but the rest of the strip down at least 7.0 ticks). This can probably be largely attributed to Powell's comments around the US close yesterday that the Fed would consider 75bp hikes if things came in worse than expected - this was in contrast to his comments at last week's FOMC presser that the Fed was not "actively considering" a 75bp move. Markets now price 53bp for June, 102bp (cumulatively) by July, 140bp by September and 190bp by year-end (5 meetings). The year-end pricing was around 193bp at Wednesday's close and fell as low as 180bp intraday yesterday.
  • Most of the Euribor strip is down around 2.0-3.0 ticks, seeing a much smaller reversal of yesterday's rally. Markets now price 20bp (cumulatively) for July, 50bp by September and 81bp by year-end (5 meetings).
  • The SONIA strip is around 1.0-1.5 ticks lower in early trading. In terms of BOE pricing, 27bp is priced for June, 50bp (cumulatively) by August, 74bp by September and 106bp by year-end (5 meetings).

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  • Eurodollar futures have seen the biggest reversal since yesterday's close with the Whites seeing the biggest moves (Sep-22 down 9.5 ticks but the rest of the strip down at least 7.0 ticks). This can probably be largely attributed to Powell's comments around the US close yesterday that the Fed would consider 75bp hikes if things came in worse than expected - this was in contrast to his comments at last week's FOMC presser that the Fed was not "actively considering" a 75bp move. Markets now price 53bp for June, 102bp (cumulatively) by July, 140bp by September and 190bp by year-end (5 meetings). The year-end pricing was around 193bp at Wednesday's close and fell as low as 180bp intraday yesterday.
  • Most of the Euribor strip is down around 2.0-3.0 ticks, seeing a much smaller reversal of yesterday's rally. Markets now price 20bp (cumulatively) for July, 50bp by September and 81bp by year-end (5 meetings).
  • The SONIA strip is around 1.0-1.5 ticks lower in early trading. In terms of BOE pricing, 27bp is priced for June, 50bp (cumulatively) by August, 74bp by September and 106bp by year-end (5 meetings).