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OI Points To Short Setting In Euribor Futures On Wednesday

EURIBOR

The combination of yesterday's movement lower in Euribor futures and OI data points to net short setting as the dominant positioning factor through the blues on Wednesday.

  • We only seemed to see modest rounds of long cover in some contracts.
  • Fresh '24 highs for most of the German benchmark yield measures added some pressure to Euribor futures, although that was largely momentum-/flow-driven.
  • We also got a round of typically hawkish snippets from ECB GC member Wunsch.
  • A reminder that our most recent sources piece suggested that "expectations on the EuropeanCentralBank’s Governing Council for rate cuts this year currently range between 50 and 100 basis points in 25bp steps."
  • Market pricing now operates at the dovish end of that range.
21-Feb-2420-Feb-24Daily OI ChangeDaily OI Change In Packs
ERH4862,534863,244-710Whites+7,031
ERM4656,606648,531+8,075Reds+14,975
ERU4397,756399,657-1,901Greens+8,910
ERZ4434,406432,839+1,567Blues+236
ERH5377,925376,153+1,772
ERM5320,373318,706+1,667
ERU5261,169256,886+4,283
ERZ5300,824293,571+7,253
ERH6190,151187,040+3,111
ERM6128,766125,037+3,729
ERU6108,468108,487-19
ERZ6106,953104,864+2,089
ERH774,33973,938+401
ERM751,13151,409-278
ERU745,32945,878-549
ERZ763,76863,106+662
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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