Euribor Futures Curve Prices Out Hikes......>

EURIBOR: Euribor Futures Curve Prices Out Hikes

For charts see: https://tinyurl.com/mni-euribor-23nov18

It has been an eventful week for Euribor futures with a rally seen on Friday,

leading to implied rates falling. We have seen a flattening of the shorter-end

of the curve this week, particularly on maturities up to the Z9 contracts with

most longer-dated contracts seeing implied rates falling between 4-5bp this week

(see Figure 1).

- These moves accelerated today following the release of a poor breakdown of

German GDP (see 07:12GMT bullet) followed by disappointing PMI data from France,

Germany and the Eurozone as a whole (see bullets at 8:26, 8:38 and 9:04).

- Euribor contracts then moved higher still on the back of the MNI sources story

discussing that there may be a change to the language of the ECB statement,

specifically the "balanced risks."

- The spread between the ERH9 and ERH0 contracts is now at its narrowest since

18 April 2017, while other "H" spreads have also seen some narrowing through the

last couple of months, although not to the same extent (see Figure 2).