STIR: Euribor Futures Off Lows; ERZ5 Consolidates Above Last Friday's High
Feb-07 15:19
Euribor futures hover close to session lows, as global markets digest the somewhat stronger-than-expected US labour market report, alongside subsequent Fedspeak from Kashkari and the UMich prelim release.
- Futures currently -0.5 to -4.0 ticks through the blues. ERZ5 tested yesterday’s low at 98.035, but has consolidated above last Friday’s high through the course of this week.
- The H5/M5 spread has steepened 2.0 ticks today to -26.0 ticks (vs the YTD low of -29.5 ticks reached on Monday and Wednesday).
- ECB-dated OIS price 84bps of easing through year-end (vs 86bps at yesterday’s close).
- ECB’s Vujcic looks for more certainty around services inflation and possibly trade restrictions by March/April, while noting that the current market rate path is reasonable.
- The ECB’s staff bulletin (covered in more detail earlier) provided a heavily caveated 1.75-2.25% range for Eurozone nominal neutral rates.
- Next week’s regional data calendar is headlined by the second estimated of Q4 GDP, which will include an initial look at real productivity per employee.
| Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Effective ESTR Rate (bp) |
| Mar-25 | 2.418 | -25.1 |
| Apr-25 | 2.237 | -43.2 |
| Jun-25 | 2.058 | -61.1 |
| Jul-25 | 1.983 | -68.6 |
| Sep-25 | 1.893 | -77.6 |
| Oct-25 | 1.873 | -79.6 |
| Dec-25 | 1.832 | -83.7 |
| Feb-26 | 1.832 | -83.7 |
| Source: MNI/Bloomberg. | ||
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BUNDS: Best traded Volumes since Mid December in Bund to start 2025
Jan-08 15:11
- No surprises in seeing a decent start of the Year in Bund and EGB's given the Busy Week on the Data front and heavy supply.
- Risks Events and Trump have also provided further liquidity.
- This Week's volumes in Bund have been the best since the 12th December, and the contract has only seen 4 sessions for the December Expiry with higher volumes, but we still haven't had the US NFP on Friday yet.
STIR: Dec Hawkish Extreme In Year-End BoE Pricing Holds, Before Fade To 49bp
Jan-08 15:05
The hawkish repricing in Dec ’25 BoE-dated OIS stopped at the hawkish extreme seen in December, pricing ~44bp of cuts through year-end, before a fade back to ~49bp.
- These levels probably look enticing for those that have a received bias, although continued worry surrounding the UK fiscal situation could limit dovish moves.
BoE Meeting | SONIA BoE-Dated OIS (%) | Difference vs. Current Effective SONIA Rate (bp) |
Feb-25 | 4.540 | -16.0 |
Mar-25 | 4.506 | -19.4 |
May-25 | 4.403 | -29.7 |
Jun-25 | 4.380 | -32.0 |
Aug-25 | 4.310 | -39.0 |
Sep-25 | 4.281 | -41.9 |
Nov-25 | 4.233 | -46.8 |
Dec-25 | 4.213 | -48.7 |
MNI:US NOV WHOLESALE INV -0.2%; SALES 0.6%
Jan-08 15:00
- MNI:US NOV WHOLESALE INV -0.2%; SALES 0.6%
