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STIR: Euribor and SONIA Futures Bid Alongside Core FI

STIR
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Euribor and SONIA futures have seen a light bid alongside core FI amid this afternoon’s souring of global risk sentiment, but moves have been relatively modest overall.

  • The SONIA strip outperforms Euribor for the second consecutive day, with futures -1.0 to +4.0 ticks through the blues.
  • Year-end BoE cut pricing has deepened a little as a result, with 46bps of cuts priced by OIS through the September, November and December meetings (vs 44bps this morning),
  • Near-term ECB pricing is little changed, with OIS discounting 63bps of cuts through the remainder of 2024 (vs 62bps this morning).
  • A 25bps cut at Thursday’s ECB meeting is unanimously expected, leaving focus on the policy guidance and revised projections. See our ECB preview for more.
  • Tomorrow’s calendar includes July activity data in the UK, while there is little to note in the Eurozone. Broader macro focus is on the US August CPI report.

Table 1: BoE-dated OIS Pricing

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Euribor and SONIA futures have seen a light bid alongside core FI amid this afternoon’s souring of global risk sentiment, but moves have been relatively modest overall.

  • The SONIA strip outperforms Euribor for the second consecutive day, with futures -1.0 to +4.0 ticks through the blues.
  • Year-end BoE cut pricing has deepened a little as a result, with 46bps of cuts priced by OIS through the September, November and December meetings (vs 44bps this morning),
  • Near-term ECB pricing is little changed, with OIS discounting 63bps of cuts through the remainder of 2024 (vs 62bps this morning).
  • A 25bps cut at Thursday’s ECB meeting is unanimously expected, leaving focus on the policy guidance and revised projections. See our ECB preview for more.
  • Tomorrow’s calendar includes July activity data in the UK, while there is little to note in the Eurozone. Broader macro focus is on the US August CPI report.

Table 1: BoE-dated OIS Pricing

Keep reading...Show less