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What's priced in?

STIR FUTURES

Quick recap of what's priced in this morning following yesterday's disappointing JOLTs print in the US. Broadly speaking we have just under a 50% probability of a 25bp May Fed hike but both the BOE and ECB are priced above 75%. The curve peaks in May for the Fed but in the summer for both the BOE and ECB still.

  • For the Fed markets price in around 12bp for the May meeting (down from yesterday's peak of around 18bp). This is the peak rate with cuts being gradually priced in after. Relative to today's rate there is now around 64bp of cuts priced in by year-end (yesterday pre-JOLTs we saw a peak of -42bp but hit a low of around -73bp post-data before recovering off these lows a little).
  • For the ECB there is 22bp priced for the May meeting (yesterday's range 21.5-23.5bp) while the peak rate is seen in September around 53bp (yesterday's high saw 63bp priced by October).
  • For the BOE there is 19bp priced for the May meeting (yesterday's range 18-20.5bp) while the peak rate sees a cumulative 37bp priced in by August (yesterday's high saw almost 48bp priced by September).
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