Free Trial

Some ED-SONIA divergence

STIR FUTURES
  • It has been a more modest start for STIR futures this week, with the US Juneteenth holiday likely subduing some volatility.
  • Eurodollar futures have seen Whites/Reds generally lower on the day, by up to 5.0 ticks for the Mar-23 contract. Markets now price around 70bp for July, 131 (cumulatively) by September and 200by by year-end.
  • SONIA futures in contrast have seen Whites move higher this morning, although there is a little move lower further down the strip. Markets now pricing about 55bp for August (from 58bp close on Friday), 105bp (cumulatively) by September, 158bp by November and 180bp by year-end (down 2bp from Friday).
  • Euribor futures have seen more limited moves of up to 2 ticks lower across the strip. Markets price 34bp for July, 89bp by September and 174bp by year-end.

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.