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Euribor Sees Light Twist Flattening, ECB-Dated OIS Marginally Firmer

STIR

A fairly muted start for Euribor futures in post-Christmas trade.

  • The aforementioned uptick in core global FI markets during Asia-Pac hours (largely linked to a move in JGBs) has supported the back of the greens and the blues.
  • That leaves a light twist flattening bias on the strip, with contracts -2.5 to +1.5 through the blues.
  • ECB-dated OIS contracts are little changed to 2.5bp firmer through ’24 meetings, showing ~164bp of cuts through ’24. 15bp of cuts are priced through the end of the Mar ’24 meeting, with the first 25bp cut more than fully discounted through the end of the April ’24 decision.
  • There isn’t much to note on Wednesday when it comes to slated Eurozone risk events.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Jan-243.888-1.1
Mar-243.751-14.8
Apr-243.519-38.0
Jun-243.197-70.2
Jul-242.890-100.9
Sep-242.642-125.7
Oct-242.444-145.5
Dec-242.258-164.1
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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