Huge moves

There are continued huge moves in STIR markets as the market moves to pricing in around 74bp for tomorrow's FOMC meeting following yesterday's WSJ article by Nick Timiraos and the CNBC report from Steve Liesman.

• Eurodollar Whites are the biggest movers with the Sep-22 contract down 22.0 ticks since the close, Dec-22 down 15.0 ticks and Mar-23 down 5.5 ticks. The strip is inverted thereafter, with the rest of the strip having moved hither today. Reds are up 6.0-11.5 ticks and Greens/Blues up 11.5-14.5 ticks. Over the last week the Dec-22 contract has moved over 80 ticks lower and there is now a 75 tick spread between the Sep-22 and Dec-22 contracts.
• In terms of Fed pricing, 143bp is priced by July (almost two 75bp hikes priced), 197bp by September (another 50bp), 241bp by November (another 50bp) and then 278bp by year-end.
• The entire Euribor strip is lower on the day, with Whites seeing the biggest move - down 8-15 ticks. Reds are down 2-5 ticks and the rest of the strip down 1-2 ticks. For ECB pricing, 36bp is priced for July, 91bp by September, 127bp by October and 176bp by year-end.
• The SONIA strip has seen the smallest moves with Whites down up to 6 ticks but moves higher in Reds, Greens and Blues (up to 10 ticks higher). Markets now price 35bp for this week's MPC meeting, a cumulative 81bp by August, 125bp by September, 194bp by year-end and 247bp by May 2023.