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Following ED futures lower this morning

EURIBOR
  • A generally positive risk-outlook helped Eurodollar futures grind lower through the Asian and early European sessions - and Euribor futures have been following lower this morning too.
  • Eurodollar Reds/Greens are up to 9 ticks lower on the day while Euribor Reds/Greens are 5.5-6.0 ticks lower.
  • For ECB pricing this equates to 69bp for October, 135bp by year-end and a terminal rate around 190bp higher by May 2023.
  • We note that this morning's published €STR fixing - referring to yesterday - the first day of the new maintenance period was 0.662% - this is an 8.8bp discount to the deposit rate - in line with the spread over the past 12 months. So the full 75bp ECB hike has been passed through to the market.
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