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STIR: CHF Strip Twist Flattens In Wake Of 25bp SNB Cut

STIR
BulletMarketsFixed Income Bullets

Initial SNB reaction in CHF STIRs sees the very front end remove pricing of a potential 50bp cut at today’s event.

  • 35bp of easing was priced into SNB-dated OIS for today’s meeting.
  • This also has an impact on Dec meeting pricing, although the move is more modest there, with SNB dated-OIS now showing an implied rate of 0.65% vs. 0.62% pre-decision.
  • That implies ~30bp of cuts for the December meeting.
  • March & June ’25 meeting pricing is little changed. ~48bp of cuts priced through the former, ~55bp priced through the latter.
  • The SNB noting that “further cuts may become necessary in coming quarters” explains the lack of movement further out the strip.
  • SARON futures now -8.25 to +4.5 twist flattening.
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Initial SNB reaction in CHF STIRs sees the very front end remove pricing of a potential 50bp cut at today’s event.

  • 35bp of easing was priced into SNB-dated OIS for today’s meeting.
  • This also has an impact on Dec meeting pricing, although the move is more modest there, with SNB dated-OIS now showing an implied rate of 0.65% vs. 0.62% pre-decision.
  • That implies ~30bp of cuts for the December meeting.
  • March & June ’25 meeting pricing is little changed. ~48bp of cuts priced through the former, ~55bp priced through the latter.
  • The SNB noting that “further cuts may become necessary in coming quarters” explains the lack of movement further out the strip.
  • SARON futures now -8.25 to +4.5 twist flattening.