Euribor & ECB Pricing Move With Bonds

Euribor futures have moved lower alongside core EGBs, even with Spanish CPI data generally printing at lower-than-expected levels and with Portuguese HICP falling below the ECB’s 2.0% target in Y/Y terms.

• There hasn’t been much in the way of broader headline flow to promote the cheapening moves in the bond sphere/move lower in Euribor futures, leaving some to point to profit taking-like activity, with moves aided by lower liquidity, as a primary driver.
• Euribor futures show 0.5-8.0bp lower through the blues.
• ECB-dated OIS has ticked away from dovish session extremes and now sits little changed to ~5bp firmer on the day.
• ~167.5bp of cuts are now priced through ’24 after the strip breifly moved towards pricing 175bp of cuts over that horizon in early Friday trade.