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Euribor futures leading the way lower

STIR FUTURES
  • STIR futures are under pressure this morning with Euribor futures leading the way lower, following on from the Reuters sources piece on Friday which stated that some ECB policymakers wanted to discuss a 75bp hike at the September meeting. And this was followed up by a relatively hawkish speech from Fed Chair Powell.
  • Euribor futures this morning are up to 24.5 ticks lower (with the Mar-23 contract leading the way lower) and up to 45.5 ticks lower. Moves are most pronounced in the Whites and Reds, but Greens and Blues are all at least 14 ticks lower on the day and at least 22 ticks lower since Thursday's lows. Markets now price in 66bp for the September meeting, a cumulative 115bp by October, 165bp by December and 196bp by February 2023. The curve continues to slope upwards through 2023, albeit at a much flatter rate.
  • Eurodollar futures are also lower on the day, down up to 13.5 ticks through the Reds with the majority of the strip down at least double digits. Markets are pricing 67bp for September, a cumulative 112bp by November, 136bp by December and peaking at 153bp by March 2023.

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