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SONIA / Euribor futures below their "official" Friday closes

STIR FUTURES
  • SONIA and Euribor futures are below their "official" closing levels of Friday but that weakness was seen in late Friday trading. They have actually ticked up a little this morning.
  • For the ECB, there is currently 49bp priced for the February meeting (with between 43-53bp priced consistently since the December ECB meeting) with 91bp cumulatively priced by March (range of 86-99bp since December meeting). Terminal rate pricing now peaks in July at a cumulative 143bp, higher than the lows around 125bp in the days after the December meeting but down from an inter-meeting peak of around 164bp.
  • For the BOE, there is currently around 44bp priced in (with between 40-50bp priced consistently since the December MPC meeting) with 75bp cumulatively priced by March (range of 70-87bp since December meeting). Terminal rate pricing now peaks in August at a cumulative 97bp after reaching a low of around 91bp on Tuesday in the aftermath of the US CPI print and down from an inter-meeting peak of around 130bp.
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