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Euribor Futures Rally Alongside Core Global Bonds

STIR

Euribor futures are +1.5 to +6.5 through the blues, moving higher alongside core global bonds this afternoon.

  • ERZ4 trades above 97.00 for the first time in 7 trading sessions.
  • That contract trades around the middle of the range witnessed since Feb 29, leaving well-defined support and resistance untouched (we wrote more about the technical and fundamental set up in that contract around range lows in late Feb, suggesting that longs may start to scale in).
  • Regional headline flow has been light, with tailwinds coming from this week's dovish central bank outcomes and a technical break in Bunds.
  • ECB-dated OIS contracts price 94bps of cuts through '24, up from 92bps this morning.
  • Next week's regional calendar is headlined by flash inflation releases in Spain, France and Italy, with the German and Eurozone-wide figures due after the Easter Break.


Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Apr-243.892-1.5
Jun-243.673-23.4
Jul-243.518-38.9
Sep-243.302-60.5
Oct-243.147-76.0
Dec-242.965-94.2
Jan-252.843-106.4
Mar-252.694-121.3
Source: MNI/Bloomberg


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