EUROZONE T-BILL ISSUANCE: W/C March 10, 2025

ERZ5 98.1875/98.4375/98.6875 call fly vs. 97.50/97.25 put spread, paper paid 1.5 on 7.5K, buying the call spread.

• All the sellside previews that we read look for a 25bp cut this week.
• After February, the majority of analysts (18/21) look for the next cut to be in May. Deutsche Bank expect a longer pause to August while both Morgan Stanley and TD Securities both look for a March cut (while noting heightened risks of a delay).
• In terms of 2025 outlook, over 60% of analysts (13/21) expect 100bp of cuts across the year to 3.75%. Only NatWest Markets (4.00%) looks for fewer cuts (despite this being the closest forecast to market pricing). Most remaining analysts (6/21) are equally split between 3.50% and 3.25% (i.e. considerably larger number of cuts than markets price).
• In terms of terminal rate, the majority of analysts 17/21 (81%) have their base case in a 3.00-3.75% range, almost evenly split. Other than NatWest Markets (4.00%) other outliers are to the downside. The mean terminal rate is 3.27%.

BoE-dated OIS still hasn’t managed to price in greater than 50/50 odds of 4x 25bp cuts through year-end (on a binary 3 or 4 cut basis), with the bid in core global FI markets resulting in a fresh dovish cycle extreme of ~86.5bp of cuts being priced at one stage today.

• A reminder that the market priced ~36bp of cuts over the same horizon as recently as January 15.
• The market continues to price just under 24bp of easing for tomorrow’s decision and ~48bp of cuts through the May MPC.
• We look for cuts at both tomorrow’s decision and the May meeting.
• SONIA futures flat to +9.0.
• Dec highs in SFIZ5 remain unchallenged.