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SONIA / Euribor continue to rally

STIR
  • SONIA / Euribor Whites and Reds now up to 6.5 ticks higher on the day as the global risk-off moves continue (see 8:49BST bullet for more on the drivers, now compounded by a disappointing German IFO).
  • SONIA futures now pricing in 48% probability of an August BOE cut (the probability has increased by around 10% since yesterday's close). Markets are now pricing 104bp by June 2025 (an additional 7bp relative to yesterday's close).
  • Euribor futures now pricing in 23bp of cuts for September ECB meeting (2bp more than yesterday's close). Markets now fully price two 50bp cuts by year-end (54bp priced, from just below 50bp at yesterday's close) while 119bp are priced in by the July 2025 meeting (around 8bp more than yesterday).

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