Huge moves continue

STIR futures are under pressure this morning, continuing on from the sell-off seen on Friday.

• The biggest moves are being seen in Eurodollar futures, with the Mar-23 contract down 20.5 ticks on the day, 49.0 ticks since Thursday's close. With the exception of the soon-to-expire Jun-22 contract, Whites, Reds and Greens are all down by at least 11 ticks on the day, and at least 27 ticks since Thursday's close. Markets are now pricing 57bp for this week's meeting - 50bp fully priced with around a 25% probability priced for a 75bp hike. 174bp is priced by September (3 meetings time) - which implies two 50bp hikes and one 75bp hike over the next three meetings. 253bp is priced by year-end.
• The SONIA strip has seen some moves of up to 13 ticks lower - with the Mar-23 contract also the biggest mover over two days - down 36.5 ticks since Thursday's close. Even Blues are down at least 8 ticks on the day and at least 20 ticks since Thursday's close. Markets price 35bp for Thursday (around a 40% probability of a 50bp hike) with 78bp by August and 197bp by year-end (5 meetings).
• Euribor futures down up to 12.5 ticks, with Mar-23 contract down 32.5 ticks since Thursday's close. Markets now price 36bp for July, 78bp by September and 125bp by October (so two 50bp hikes and one 25bp hike).