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Front Euribor leads cross assets

EURIBOR
  • Something clearly going on in the Front ERU3 Euribor, less that an hour ago volumes was elevated at 9.5k, now the contract trades nearly twice the volumes we see in the German Bonds.
  • Focus will be on Open Interest when they are updated, to see if this is purely rolling out of the contract, or clear new positioning for the ECB meeting
  • Expiry for ERU3 is on the 18th September, ECB meeting on the 14th.
  • This has also affected the EUR drifting lower on lower rates.

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