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What are we pricing now? (1/2)

STIR FUTURES
  • We have seen Eurodollar, Euribor and short sterling strips move up to 8 ticks higher this morning with the moves largest in the Reds, up to 7-8 ticks higher across the three strips.
  • The moves are likely due to three factors:
    • 1) some position squaring ahead of the Fed/BoE this week (after the decent moves lower in the strips in recent weeks, including last week).
    • 2) Covid concerns in China with a lockdown of just under 20 schools in Beijing.
    • 3) A post-RBA bid following the meeting overnight.
  • Short sterling continues to fully price in a greater than 15bp hike this week followed by 25bp hikes at the next two meetings (Dec/Feb). 2/3 of the next meetings are then priced for rates to 1.25% around the middle of 2022 before the curve flattens.
  • The Eurodollar curve around the middle of 2022 fully priced in rates at 0.50% by contrast, with the Euribor strip pricing in around 10bp at the same time.
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