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Euribor continues to reverse some of yesterday's sell-off

STIR FUTURES
  • Euribor futures have led the way higher this morning, reversing around 40% of yesterday's moves lower. The moves were initially triggered by some German state CPI data looking on the soft side. However, our data team now calculate that the national CPI print due at 13:00BST / 8:00ET will come in at +0.38%M/M (Bloomberg median +0.35%) and the Y/Y print at +7.94%Y/Y (median 7.8%) - so a little higher than expected for both. Jun-23 Euribor futures are now up 8.0 ticks on the day, but down 11.0 ticks since Friday's close. Markets now price 62bp for the ECB's September meeting (in line with Friday's close but down from 65bp at yesterday's close), 155bp by year-end (from 146bp on Friday and 165bp yesterday) and 216bp in a year's time.
  • Eurodollar futures have drifted higher this morning, too, led by Euribor but moves are more limited - up 3.0-4.5 ticks for Whites/Reds and 5.5 ticks through most of the rest of the strip.
  • SONIA futures were closed yesterday and have been catching up with yesterday's moves. Whites are up to 4.5 ticks lower, Reds 3-6 ticks lower and Greens/Blues 8.5-10.5 ticks lower on the day.
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