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Post US Data Selloff Continues In EGBs and Euribor; French/German Inflation Eyed Tomorrow

EGBS

We haven't noted much in the way of headline flow to drive the latest leg lower in EGBs/Euribor, as the post US JOLTS sell-off extended in core FI markets. Bunds have recently moved off the intraday low of 134.37, currently -40 at 134.59.

  • Firmer oil prices may have also factored in, with the 5y5y euro inflation swap 1.4bps higher today at 2.2375%.
  • The Euribor strip is -3.0 to -7.0 ticks through the Blues, with the back of the Whites/Reds under the most pressure.
  • ECB-dated OIS contracts price 140bps of cuts through 2024, moderating further from the 143bps seen post Spanish CPI this morning.
  • Tomorrow's European docket is highlighted by the French and German flash January inflation prints, before major US events (QRA and Fed) move to the forefront in the afternoon.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.856-5.10
Apr-243.684-22.4
Jun-243.402-50.5
Jul-243.147-76.0
Sep-242.884-102.3
Oct-242.697-121.0
Dec-242.503-140.4
Jan-252.348-155.9
Source: MNI/Bloomberg

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