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SARON Futures Off Initial CPI-Inspired Highs, ~26.5bp Of ’24 SNB Cuts Priced Into OIS

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SARON futures are flat to +3.0, with the reds outperforming at the margin.

  • Futures are 1.0-2.0bp off session highs across the strip.
  • A reminder that headline May Swiss CPI data matched expectations earlier today.
  • SNB President Jordan had previously flagged “small” upside risks to the SNB’s +1.4% Q2 CPI forecast.
  • That didn’t emerge in today’s readings, although June’s data could still move the needle on that front (the SNB meets before that release, with the next monetary policy decision due on 20 June).
  • The lack of upside surprise in that data and broader rally in core global FI markets (greater colour on the general bond rally is available elsewhere) promoted slightly more dovish pricing in SNB-dated OIS and SARON futures, as hurdles to further cuts reduced a little.
  • June meeting pricing saw nearly 16bp of cuts priced at one point (vs. ~11bp at yesterday’s close), before pulling back to ~14bp at typing.
  • Meanwhile, December meeting pricing moved to show a little over 30bp of cumulative cuts through year end (vs. 23bp at yesterday’s close), before settling back around ~26.5bp.
  • Subsequently. Danske Bank tweaked their SNB call citing “stronger growth in Switzerland, more persistent global underlying inflation pressures, a slightly weaker CHF and recent hawkish remarks from SNB's Jordan.”
  • They now expect “the SNB to remain on hold in June. We stress that it is a close call, but we now favour an unchanged decision. We expect the SNB to cut its by policy rate by 25bp at the September and December meeting, leaving the policy rate at 1.00% by year-end. We expect no cuts in 2025.”
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SARON futures are flat to +3.0, with the reds outperforming at the margin.

  • Futures are 1.0-2.0bp off session highs across the strip.
  • A reminder that headline May Swiss CPI data matched expectations earlier today.
  • SNB President Jordan had previously flagged “small” upside risks to the SNB’s +1.4% Q2 CPI forecast.
  • That didn’t emerge in today’s readings, although June’s data could still move the needle on that front (the SNB meets before that release, with the next monetary policy decision due on 20 June).
  • The lack of upside surprise in that data and broader rally in core global FI markets (greater colour on the general bond rally is available elsewhere) promoted slightly more dovish pricing in SNB-dated OIS and SARON futures, as hurdles to further cuts reduced a little.
  • June meeting pricing saw nearly 16bp of cuts priced at one point (vs. ~11bp at yesterday’s close), before pulling back to ~14bp at typing.
  • Meanwhile, December meeting pricing moved to show a little over 30bp of cumulative cuts through year end (vs. 23bp at yesterday’s close), before settling back around ~26.5bp.
  • Subsequently. Danske Bank tweaked their SNB call citing “stronger growth in Switzerland, more persistent global underlying inflation pressures, a slightly weaker CHF and recent hawkish remarks from SNB's Jordan.”
  • They now expect “the SNB to remain on hold in June. We stress that it is a close call, but we now favour an unchanged decision. We expect the SNB to cut its by policy rate by 25bp at the September and December meeting, leaving the policy rate at 1.00% by year-end. We expect no cuts in 2025.”