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Looking ahead to the Fed

STIR FUTURES

STIR futures are little moved this morning as the market awaits the FOMC decision later this evening.

  • Eurodollar futures are 0.5-2.0 ticks down on the day. Markets are pricing around 78bp ahead of Wednesday's FOMC policy announcement with a cumulative 137bp priced for September and 181bp priced by the December meeting. Therefore the curve inverts somewhat with a first 25bp cut fully priced by September 2023.
  • The SONIA futures curve is up to 4.5 ticks lower on the day, with the strip steepening through the Whites and then seeing a parallel move through the rest of the curve. Markets now price 46bp for next week's meeting with a cumulative 93bp priced by September and 155bp by year-end, with 174bp priced by February 2023, with the curve inverting thereafter.
  • Moves have been more limited for the Euribor curve which is down up to 1 tick on the day. Markets price 43bp for the September meeting, 82bp by October and 109bp by year-end. The curve flattens from March 2023 onwards with a peak of around 120bp priced in.

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