OAT futures have pierced round-number resistance at 128.00, exposing the Sep 17 high at 128.14. There has been a step-up in volumes since the top of the hour, as NY participants filter in and assess this morning’s rally.
- PM Barnier is scheduled to address Parliament at 1400BST/1500CET today, and is expected to announce measures to tighten France’s fiscal stance (see the above post for more colour).
- Le Parisien reported yesterday that Barnier will look to announce E15-18bln of additional taxes.
- The 10-year OAT/Bund spread is now 4.5bps tighter today, below 75bps for the first time in two weeks.
- BTP futures have extended higher alongside OATs, now through the 3.00 proj of the Jun 11 - 18 - Jul 1 price swing at 122.22, currently +95 ticks today at 122.42. The BTP/Bund spread has tightened 3bps today to 130bps at typing.
- In EUR STIRs, Euribor futures have registered fresh YTD highs through the reds, greens and blues, likely providing additional support to BTPs and OATs.
- ECB-dated OIS continue to price 22bps of easing through the October meeting, with 151bps of cuts now priced through the June 2025 meeting.
| Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Effective ESTR Rate (bp) |
| Oct-24 | 3.190 | -22.1 |
| Dec-24 | 2.881 | -52.9 |
| Jan-25 | 2.612 | -79.9 |
| Mar-25 | 2.306 | -110.4 |
| Apr-25 | 2.091 | -132.0 |
| Jun-25 | 1.898 | -151.2 |
| Jul-25 | 1.794 | -161.7 |
| Sep-25 | 1.711 | -169.9 |
| Source: MNI/Bloomberg. | ||
