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What's priced in?

STIR FUTURES
  • Eurodollar futures opened lower this morning as Asian market participants reacted to Friday's payrolls print. The Dec-23 contract is 6.0 ticks lower than Friday's close at 95.33, but still 10 ticks above Friday's intraday low of 95.23. Markets continue to price around 51bp for the December meeting, with the terminal rate seen in May a cumulative 111bp above current levels.
  • SONIA futures in contrast have opened higher this morning. Markets continue to price around 56bp for the December meeting with 166bp priced cumulatively by August.
  • The Euribor strip is little moved this morning with 54bp priced in for December and a cumulative 142bp priced by June.

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