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SONIA futures coming under pressure ahead of the BOE

STIR FUTURES

Markets continue to try and find equilibrium after yesterday's Fed meeting with the BOE policy announcement in just over an hour.

  • The SONIA strip has come under some pressure over the past few minutes, but there doesn't seem to be any real reason for the move lower. We have been asking around contacts but no one seems to have any definitive answers. Markets now pricing around 32bp for today's meeting and 172bp through the remainder of 2022.
  • The Euribor strip has been moving higher over the past couple of hours, and not helped by the headline earlier that the Kremlin were denying that substantial progress had been made on talks with Ukraine (which was reported by the FT yesterday).
  • The Eurodollar strip remains within the range it traded through the Asian session, quite some way off the post-Fed lows. With the exception of the Jun-22 contract (which is flat), the rest of the strip is lower than its pre-Fed announcement levels.

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