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STIR FUTURES

There has been continued divergence in STIR futures markets this morning.

  • The Euribor strip is the biggest mover, down up to 14.5 ticks across most of the curve (apart from the Sep-22 and Dec-22 contracts). Most of the move was actually triggered by the SNB's unexpected 50bp hike (most analysts looked for no change). Markets now price 36bp for the July meeting, 91bp by September and 185bp by year-end for the ECB (the year-end number is around 40bp higher than last Thursday's post-ECB close).
  • The Bank of England policy decision will be announced at 12:00BST / 13:00CET. Market price 31bp (around a 25% probability of a 50bp hike). A cumulative 80bp is priced by August. However, the SONIA strip has moved higher today with 182bp priced by year-end (down around 8bp since yesterday).
  • The Eurodollar strip has seen the smallest moves this morning with Whites and Reds down up to 3.5 ticks but Blues up to 4.0 ticks higher. Around 68bp is priced for July (around 2/3 probability of a 75bp hike with 50bp fully priced). 125bp (cumulatively) is priced by September with 200bp by year-end (4 meetings).

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