April 24, 2024 15:06 GMT
Slight Extension Of Early EUR & GBP STIR Moves
STIR
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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-24 | 3.698 | -21.0 |
Jul-24 | 3.594 | -31.4 |
Sep-24 | 3.422 | -48.6 |
Oct-24 | 3.329 | -57.9 |
Dec-24 | 3.183 | -72.5 |
BoE Meeting | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
May-24 | 5.197 | -0.3 |
Jun-24 | 5.109 | -9.1 |
Aug-24 | 4.990 | -21.0 |
Sep-24 | 4.915 | -28.4 |
Nov-24 | 4.809 | -39.1 |
Dec-24 | 4.729 | -47.0 |
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