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Stable this morning after moving higher post-FOMC Minutes


STIR futures have been relatively stable through European trading this morning. The Eurodollar and Euribor strips moved higher in response to yesterday's FOMC Minutes and the SONIA strip moved higher on the open. Despite some moves higher earlier this morning, we are back to levels consistent with the European open.

  • Markets continue to price in 46bp for the May Fed meeting with 91bp priced by June and 129bp by July (3 meetings). Year-end pricing is now 212bp, down from a high of 226bp yesterday morning (the cycle high). Eurodollar futures are up to 7.5 ticks higher through the Reds.
  • In the UK, markets price 28bp for May, a number that has been very gradually falling since the 35bp priced around 2 weeks ago. 53bp is priced for June with 102bp priced for September (4 meetings) and 136bp by year-end (6 meetings). The latter has been range-bound between 130-145bp for around 3 weeks now. SONIA futures are generally 4.5-5.0 ticks higher from Reds onwards.
  • For the ECB, 27bp remains priced for September with 55bp priced for year-end, against this has remained farily stable for around 10 days now. The Euribor strip has seen the biggest moves in Reds (up to 5.0 ticks higher on the day).

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