GILTS: Opening calls
May-22 06:57
Gilt calls, 90.43/90.57 range....
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STIR: OIS Pricing ECB Terminal Of 1.50% Following Dovish April Decision
Apr-22 06:54
ECB-dated OIS almost fully price another 25bp cut in June, following the dovish, growth-centric tone of last week’s decision/press conference. OIS almost price another three 25bp cuts this cycle (~71/72bps through Feb/March 2026), implying a terminal rate of just over 1.50%.
- MNI’s ECB review, published last week, is here.
- The Euribor strip has twist steepened, with whites flat to +2.5 ticks and blues -1.5 to -2.5 ticks from Thursday’s settlement levels. The ERM5/M6 spread once again reached a -38.0 tick low (now -2.0 ticks at -37.0 ticks), a breach of which would expose the June 2024 low at -39.5 ticks.
- Yesterday, ECB’s Kazaks said in a blog that “Recession is not currently the base scenario, but with potentially such large-scale changes in geopolitics and global trade, its probability is high”. However, Muller struck a more cautious tone noting that “Financial markets have an expectation that the ECB will further lower interest rates, but it seems to me that we need to be careful in assessing the inflation outlook”.
- Today’s regional data calendar is headlined by the ECB’s Survey of Professional Forecasters at 0900BST/1000CET. Q4 ’24 EU fiscal is also due at 1000BST.
| Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Cut-adjusted Effective ESTR Rate (bp) |
| Jun-25 | 1.933 | -23.4 |
| Jul-25 | 1.775 | -39.2 |
| Sep-25 | 1.591 | -57.6 |
| Oct-25 | 1.525 | -64.2 |
| Dec-25 | 1.464 | -70.3 |
| Feb-26 | 1.453 | -71.4 |
| Mar-26 | 1.452 | -71.5 |
| Apr-26 | 1.459 | -70.8 |
| Source: MNI/Bloomberg. | ||
EURIBOR OPTIONS: Call Condor buyer
Apr-22 06:54
ERZ5 98.1875/98.4375/98.6875/98.9375c condor, bought for 10 in 14k.
STIR: Nearly 90bp Of BoE Cuts Priced through Year-End
Apr-22 06:43
Twist steepening seen in SONIA futures after the long weekend, taking account of the moves in Tsys.
- The moves seem to be driven by ongoing U.S. policy uncertainty (tariff wars and President Trump’s continued critique of Fed Chair Powell), reflecting heightened near-term risks to growth, with the risk of stickier inflation further out.
- Contracts +3.5 to -4.5.
- BoE-dated OIS little changed to 2bp more dovish across ’25 meetings, showing 25.5bp of cuts for May, 37bp through June, 57bp through August and 88bp through year-end.
- Little of note on the UK calendar for today, which will leave post-holiday adjustments and macro cues at the fore.
- Brightmine pay data is due around midnight, with flash PMIs and BoE-speak from Bailey, Pill & Breeden scheduled for Wednesday.
BoE Meeting | SONIA BoE-Dated OIS (%) | Difference vs. Current Effective SONIA Rate (bp) |
May-25 | 4.203 | -25.6 |
Jun-25 | 4.087 | -37.1 |
Aug-25 | 3.888 | -57.1 |
Sep-25 | 3.772 | -68.6 |
Nov-25 | 3.626 | -83.3 |
Dec-25 | 3.576 | -88.3 |
