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Euribor strip moves down up to 10 ticks post ECB statement

STIR FUTURES
  • Jun-22 Euribor future is up 4.5 ticks since the decision (4.0 ticks on the day) as the ECB didn't hike today and confirmed July would be 25bp.
  • Sep-22 down 2.5 ticks.
  • The rest of the Euribor strip has moved down 8.0-11.5 ticks since the decision (7.5-10.0 ticks lower on the day). This is largely due to the ECB leaving the door open to hikes of larger than 25bp from September onwards.
  • SONIA futures down up to 2.5 ticks post-ECB decision, now down up to 7.5 ticks on the day.
  • Eurodollar futures down up to 3.5 ticks on the ECB decision, now down up to 5.5 ticks on the day.

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