Euribor and SONIA futures have seen a light bid alongside core FI amid this afternoon’s souring of global risk sentiment, but moves have been relatively modest overall.
- The SONIA strip outperforms Euribor for the second consecutive day, with futures -1.0 to +4.0 ticks through the blues.
- Year-end BoE cut pricing has deepened a little as a result, with 46bps of cuts priced by OIS through the September, November and December meetings (vs 44bps this morning),
- Near-term ECB pricing is little changed, with OIS discounting 63bps of cuts through the remainder of 2024 (vs 62bps this morning).
- A 25bps cut at Thursday’s ECB meeting is unanimously expected, leaving focus on the policy guidance and revised projections. See our ECB preview for more.
- Tomorrow’s calendar includes July activity data in the UK, while there is little to note in the Eurozone. Broader macro focus is on the US August CPI report.
Table 1: BoE-dated OIS Pricing
| Meeting Date | SONIA BoE-Dated OIS (%) | Difference Vs. Current Effective SONIA Rate (bp) |
| Sep-24 | 4.919 | -3.1 |
| Nov-24 | 4.658 | -29.2 |
| Dec-24 | 4.492 | -45.9 |
| Feb-25 | 4.236 | -71.4 |
| Mar-25 | 4.033 | -91.7 |
| May-25 | 3.819 | -113.1 |
| Jun-25 | 3.697 | -125.3 |
| Aug-25 | 3.565 | -138.5 |
| Source: MNI/Bloomberg | ||
Table 2: ECB-dated OIS Pricing
| Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Effective ESTR Rate (bp) |
| Sep-24 | 3.416 | -24.7 |
| Oct-24 | 3.326 | -33.7 |
| Dec-24 | 3.031 | -63.2 |
| Jan-25 | 2.784 | -87.9 |
| Mar-25 | 2.484 | -117.9 |
| Apr-25 | 2.281 | -138.2 |
| Jun-25 | 2.079 | -158.4 |
| Jul-25 | 1.994 | -166.9 |
| Source: MNI/Bloomberg. | ||
