STIR: Over 80% Odds Of BoE Dec Cut Still Priced, Next Week's CPI Eyed
Nov-12 07:46
Little net movement in GBP STIRs this morning, with the short end consolidating the bulk of the dovish repricing that followed the soft labour market report (our full review of that release is here).
- BoE-dated OIS is flat to 1bp less dovish vs. closing levels, showing 20.5bp of easing for December, 31bp through February, 40bp through March and 51bp through April.
- SONIA futures flat to -1.5. SFIZ6 registered an incremental fresh year-to-date high yesterday, with SONIA-implied terminal rate pricing last ~3.30%.
- Next week’s CPI data presents the next major scheduled UK risk event.
- We have already noted that in line releases in the next 2 inflation reports would likely be enough to push Governor Bailey to vote for a rate cut in December, cementing a cut (assuming the weakness in the labour market data isn’t revised away and that the views of the other MPC members remain entrenched).
BoE Meeting | SONIA BoE-Dated OIS (%) | Difference vs. Current Effective SONIA (bp) |
Dec-25 | 3.764 | -20.6 |
Feb-26 | 3.658 | -31.1 |
Mar-26 | 3.569 | -40.0 |
Apr-26 | 3.456 | -51.3 |
Jun-26 | 3.408 | -56.1 |
Jul-26 | 3.355 | -61.5 |
Sep-26 | 3.329 | -64.0 |
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EURIBOR OPTIONS: Outright Call seller
Oct-13 07:44
0RH6 98.3125c, sold at 4 in 6k.
EURIBOR: Some activity in the ESTR/Euribor spread
Oct-13 07:39
- Early flows in the Euribor strip is seen in the ERM6 but the volume is explained by the activity in the ESTR/ERM6 spread, these have traded in 50k Total at 13.25.
- It is worth noting that the September and the October high of 13.50 were the highest prints since early April.
GERMAN AUCTION PREVIEW: On offer tomorrow
Oct-13 07:31
Germany has announced a 2.00% coupon for the new Dec-27 Schatz which will be on auction tomorrow. Germany is planning to auction E5.5bln of the line.
