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Pre-ECB Rundown

STIR FUTURES

Quick rundown of the Euribor and other STIR trips ahead of the ECB:

  • Euribor strip down 2-4 ticks in Whites, 3.5-4.5 ticks for Reds/Greens and 5.0-7.5 ticks for Blues.
  • In terms of what's priced in, there is now around 6bp for June, 17bp for July, 38bp for September, 49bp for October and 71bp for the December meeting.
  • The Eurodollar strip in contrat is generally 1-3 ticks higher across the strip.
  • The SONIA strip has seen Whites down a little, Reds up a little and then a flattening of the curve through the Blues.

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