Strip Cheaper & A Touch Steeper

The bias lower in core global FI markets applies some light pressure to the Euribor strip, with overnight focus on the lack of meaningful escalation in the Israeli-Hamas conflict and the latest BoJ sources pieces.

• That leaves Euribor futures running 0.5-4.0bp lower through the blues, with a steepening bias apparent.
• ECB-dated OIS sees some light twist steepening, although familiar parameters remain in pay there ahead of Thursday’s decision.
• A quick reminder that the Bank’s communique at the time of and since the rate hike at its previous monetary policy meeting leaves the markets essentially calling time on the current hiking cycle and pricing the first full 25bp cut come the end of the Bank’s July ’24 meeting.
• Focus at Thursday’s meeting will therefore fall on any comments/questions re: QT & banking sector capital requirement matters, as well as any perceived impact re: the Israeli-Hamas conflict.