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Slight Extension Of Early EUR & GBP STIR Moves

STIR

The early hawkish adjustment in ECB- & BoE-dated OIS has seen a modest extension, although this seems to be a factor of weakness in wider core global FI markets as opposed to anything money-market centric.

  • A reminder that Asia-Pac weakness in core global FI markets extended on the back of the burden of global supply pressure and technical breaks in Bunds/Gilts.
  • Headline flow pointing to increased geopolitical risk has provided little counter.
  • ECB-dated OIS now shows ~72bp of ’24 cuts, with ~21bp of easing still priced for the June meeting.
  • BoE-dated OIS shows ~47bp of ’24 cuts, with ~21bp of easing showing through the August MPC.
  • Recent ranges remain intact and exact pricing levels for the remaining ECB & BoE ’24 meetings can be seen in the tables below.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Jun-243.698-21.0
Jul-243.594-31.4
Sep-243.422-48.6
Oct-243.329-57.9
Dec-243.183-72.5
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
May-245.197-0.3
Jun-245.109-9.1
Aug-244.990-21.0
Sep-244.915-28.4
Nov-244.809-39.1
Dec-244.729-47.0
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The early hawkish adjustment in ECB- & BoE-dated OIS has seen a modest extension, although this seems to be a factor of weakness in wider core global FI markets as opposed to anything money-market centric.

  • A reminder that Asia-Pac weakness in core global FI markets extended on the back of the burden of global supply pressure and technical breaks in Bunds/Gilts.
  • Headline flow pointing to increased geopolitical risk has provided little counter.
  • ECB-dated OIS now shows ~72bp of ’24 cuts, with ~21bp of easing still priced for the June meeting.
  • BoE-dated OIS shows ~47bp of ’24 cuts, with ~21bp of easing showing through the August MPC.
  • Recent ranges remain intact and exact pricing levels for the remaining ECB & BoE ’24 meetings can be seen in the tables below.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Jun-243.698-21.0
Jul-243.594-31.4
Sep-243.422-48.6
Oct-243.329-57.9
Dec-243.183-72.5
BoE MeetingSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
May-245.197-0.3
Jun-245.109-9.1
Aug-244.990-21.0
Sep-244.915-28.4
Nov-244.809-39.1
Dec-244.729-47.0