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STIR: Euribor Futures Follow Core FI Higher Post US Debate

STIR
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Year-end ECB implied cut pricing is little changed this morning, though dovish adjustments have been seen further out the curve. ERZ5 is +4.0 ticks higher versus yesterday’s settlement at 98.100, following wider core FI higher after last night’s US presidential debate.

  • Vice President Harris was deemed the winner of the debate, prompting an unwind of “Trump trades” centred around reflation and fiscal easing.
  • ERZ5 and ERZ6 have risen for the last 7 sessions, and further upside would see a test of the Jan 4 highs.
  • ECB-dated OIS price 62bps of easing through year-end, and fully discount a 25bp cut at tomorrow’s meeting.
  • Current pricing remains a little more aggressive than the apparent ECB base case of quarterly cuts.
  • Our ECB preview is here.
  • Today’s regional calendar is light, leaving focus on the US CPI report this afternoon.

 

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Year-end ECB implied cut pricing is little changed this morning, though dovish adjustments have been seen further out the curve. ERZ5 is +4.0 ticks higher versus yesterday’s settlement at 98.100, following wider core FI higher after last night’s US presidential debate.

  • Vice President Harris was deemed the winner of the debate, prompting an unwind of “Trump trades” centred around reflation and fiscal easing.
  • ERZ5 and ERZ6 have risen for the last 7 sessions, and further upside would see a test of the Jan 4 highs.
  • ECB-dated OIS price 62bps of easing through year-end, and fully discount a 25bp cut at tomorrow’s meeting.
  • Current pricing remains a little more aggressive than the apparent ECB base case of quarterly cuts.
  • Our ECB preview is here.
  • Today’s regional calendar is light, leaving focus on the US CPI report this afternoon.

 

Keep reading...Show less