SONIA outperforms but ED see the biggest overnight moves

As we noted would likely be the case after the disappointing UK retail sales data this morning, SONIA futures are the outperformers in STIR space this morning.

• SONIA Whites / Reds / Greens are all 1-2 ticks higher this morning. For the BOE, there is currently around 46bp priced in (with between 41-47bp priced throughout this week) with 79bp cumulatively priced by March (range of 73-81bp range this week). Terminal rate pricing now peaks in August at a cumulative 102bp after reaching a low of around 91bp on Tuesday last week in the aftermath of the US CPI print and down from an inter-meeting peak of around 130bp.
• Euribor futures are up to 3 ticks lower through Whites / Reds / Greens 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 92bp cumulatively priced by March (range of 86-99bp since December meeting). Terminal rate pricing now peaks in July at a cumulative 140bp, higher than the lows around 125bp in the days after the December meeting but down from an inter-meeting peak of around 164bp.
• Eurodollar futures have seen the biggest moves overnight, down up to 6 ticks from yesterday's low. Markets are pricing around 27bp for the upcoming Fed meeting, a cumulative 46bp by March and a terminal 57bp by June down from a low of around 51bp yesterday, but still lower on the week.