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Euribor Futures Underpinned By Risk-Off Backdrop, Sep ECB Cut Fully Priced

STIR

Euribor futures remain underpinned in the wake of yesterday’s data and continued tech-led equity weakness.

  • Contracts 1.0-7.0bp firmer on the day.
  • ERZ4 rallies to levels not seen since early April (next resistance at the Mar 25 high - 97.015), while ERZ5 has threatened to break above its March highs.
  • ECB-dated OIS also continues to see dovish adjustments on the U.S. data/risk-off combination, with a full 25bp cut priced for September and ~64bp of cuts showing through year end.
  • Little in the way of major Eurozone risk events scheduled ahead of the weekend, which should leave focus on U.S. NFPs and wider cross-market moves.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Sep-243.414-25.1
Oct-243.291-37.3
Dec-243.017-64.8
Jan-252.843-82.1
Mar-252.610-105.4
Apr-252.488-117.6
Jun-252.314-135.1
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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