SONIA / Euribor futures move a little higher

STIR futures, particularly in Europe, are now moving off their lows. No immediate headline drivers, possibly just some dip buying or profit taking with the amounts priced in looking increasingly stretched, particularly on the SONIA curve.

• SONIA futures moving higher, particularly Markets are currently pricing through Greens / Blues which are up to 4.5 ticks higher on the day. Markets now pricing in around 35bp for the May MPC meeting (25bp fully priced with around a 40% probability of a 50bp hike) with 91bp priced by the August meeting (so around a 65% probability we get a 50bp hike in one of the next three meetings). The curve then flattens a bit but there is still a further 49bp priced in for the final three meetings of the year (a cumulative 140bp).
• Euribor futures are up to 2.5 ticks higher through Reds and Greens. Markets continue to fully price a 25bp ECB hike in September and there is now 44bp priced by year-end.
• The Eurodollar curve is a couple of ticks off its overnight lows. 45bp is now priced for the May Fed meeting with 147bp priced by September (4 meetings) and 190bp priced by year-end (6 meetings).