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Limited Reaction To US IJC, But Space Still Pressured

EGBS

Bunds saw limited reaction to the latest US jobless claims data, but the below-consensus print will do little to ease pressure on the space.

  • Bunds are -11 ticks at 132.48, with Schatz futures -10 at 105.18.
  • US PMIs at 1445GMT/1545CET presents the next data release of note, while the NYT cash equity open is also eyed.
  • Peripheral spreads have held onto this morning's European equity-led compression, with the 10-year BTP/Bund spread trading in a tight 1bp range since this morning's French PMI data.
  • The spread is currently -1.4bps tighter at 148.6bps.
  • In the STIR space, the Euribor futures are -1.0 to -8.0 through the blues, with the back of the whites/front of the reds under the most pressure.
  • ECB-dated OIS contracts continue to price below 100bps of rate cuts through the remainder 2024.
  • The first 25bp cut is still just priced come the end of the June meeting (27bps priced).

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.903-0.7
Apr-243.837-7.3
Jun-243.641-26.9
Jul-243.483-42.8
Sep-243.282-62.8
Oct-243.117-79.3
Dec-242.943-96.7
Jan-252.807-110.3
Source: MNI/Bloomberg
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