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STIR: SOFR/Euribor Dec ‘25 Spread Through All-Time High

STIR
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Dovish repricing in EUR STIR markets in the wake of this morning’s flash PMIs pushes the SOFR/Euribor December ’25 (Z5) spread through its all-time closing high of 211.0, last 211.5.

  • Europe’s sensitivity to both escalation in the Russia-Ukraine war and seemingly looming increase in U.S. trade protectionism have proved supportive for the spread since Trump’s election victory.
  • This morning’s data has boosted odds of a 50bp at next month’s ECB decision.
  • ECB-dated OIS shows 38bp of cuts for next month’s meeting vs. 29bp early this morning and ~151.5bp through the end of next year vs. 139bp early this morning.

Fig. 1: SOFR/Euribor December ’25 (Z5) Spread

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Dovish repricing in EUR STIR markets in the wake of this morning’s flash PMIs pushes the SOFR/Euribor December ’25 (Z5) spread through its all-time closing high of 211.0, last 211.5.

  • Europe’s sensitivity to both escalation in the Russia-Ukraine war and seemingly looming increase in U.S. trade protectionism have proved supportive for the spread since Trump’s election victory.
  • This morning’s data has boosted odds of a 50bp at next month’s ECB decision.
  • ECB-dated OIS shows 38bp of cuts for next month’s meeting vs. 29bp early this morning and ~151.5bp through the end of next year vs. 139bp early this morning.

Fig. 1: SOFR/Euribor December ’25 (Z5) Spread

Keep reading...Show less