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German 5s30s Curve At Multi-Month Lows

EGBS

Bunds are off intraday highs but remain firmer following the softer-than-expected US ISM services print, currently +93 ticks at 133.69. The 20-day and 50-day EMAs have been breached, with 133.96 (trendline resistance drawn from the Dec 28 high) the next target for bulls.

  • The German curve has seemingly looked through any hedging pressure related to today's 30-year syndicated tap, with the 5s30s curve bull flattening to its lowest level since September 2023. We still await pricing for that syndication.
  • The Euribor strip has been supported alongside core FI, with futures +1.0 to +8.5 ticks through the blues.
  • ECB-dated OIS contracts price 95bps of cuts through '24 (vs 90bps this morning), but remain broadly within recent ranges.
  • Our ECB preview is here.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.9040.1
Apr-243.864-3.9
Jun-243.678-22.5
Jul-243.516-38.7
Sep-243.302-60.1
Oct-243.133-77.0
Dec-242.953-95.0
Jan-252.815-108.8
Source: MNI/Bloomberg

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