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STIR: Rally In Euribor Extends Alongside Core FI

STIR
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Euribor futures continued to extend higher alongside broader core FI, now +1.0 to + 5.5 ticks through the blues. Headline flow has been relatively limited throughout the day, leaving volumes comfortably below recent averages.

  • The back of the whites/front of the reds lead the rally in Euribor. Upside in ERZ5 continues to be capped by the Feb 3 high at 98.125, while ERZ6 has tested the Feb 5 high at 98.010.
  • The ERH5/M5 spread has flattened 3.0 ticks today to -30.0 ticks, a fresh multi-week low.
  • ECB-dated OIS up to 3bps more dovish than last Friday’s close, with 90bps of easing now priced through year-end.
  • ECB President Lagarde will participate in a plenary debate on the ECB’s 2023 Annual Report at the EU Parliament at 1615GMT/1715CET (text will be released). However, any near-term policy signals are unlikely to deviate from the January decision guidance.

 

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Euribor futures continued to extend higher alongside broader core FI, now +1.0 to + 5.5 ticks through the blues. Headline flow has been relatively limited throughout the day, leaving volumes comfortably below recent averages.

  • The back of the whites/front of the reds lead the rally in Euribor. Upside in ERZ5 continues to be capped by the Feb 3 high at 98.125, while ERZ6 has tested the Feb 5 high at 98.010.
  • The ERH5/M5 spread has flattened 3.0 ticks today to -30.0 ticks, a fresh multi-week low.
  • ECB-dated OIS up to 3bps more dovish than last Friday’s close, with 90bps of easing now priced through year-end.
  • ECB President Lagarde will participate in a plenary debate on the ECB’s 2023 Annual Report at the EU Parliament at 1615GMT/1715CET (text will be released). However, any near-term policy signals are unlikely to deviate from the January decision guidance.

 

Keep reading...Show less