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Euribor Futures Softer As Markets Await BoE

STIR

Euribor futures are -0.5 to -3.0 through the blues, with tepid demand at the latest 10-Year U.S. Tsy auction and some modest pressure for JGBs seen in the time since yesterday’s settlement.

  • ECB-dated OIS remain within recent ranges, with 22bps of cuts priced through June and 70bps of easing priced through year end.
  • Today’s regional data calendar is limited, with today’s BoE decision providing the main area of interest in Europe.
  • Ascension Day may limit liquidity in wider EUR markets on Thursday, although all of the major Eurozone markets are open.
  • Comments from Vice President Guindos at 1315BST/1415CET are also scheduled, while the topics of scheduled speeches from Vujcic and Cipollone don’t focus on broader ECB policy.


  • Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
    Jun-243.682-22.3
    Jul-243.618-28.7
    Sep-243.429-47.6
    Oct-243.355-55.0
    Dec-243.206-69.9

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