ERZ5 98.31/98.43cs, sold at 2.75 in 16k....
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ECB-dated OIS continue to price just over one full 25bp cut through year-end, with only 3bps of easing priced through the July decision. Following the more hawkish-than-expected stance at President Lagarde’s press conference last Thursday, the bar to another sequential 25bp cut appears high. However, it’s worth remembering that a lot can change between now and July 24, particularly with tariff reprieve deadlines set to expire in this period.
Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Cut Adjusted Effective ESTR Rate (bp) |
Jul-25 | 1.893 | -3.0 |
Sep-25 | 1.770 | -15.3 |
Oct-25 | 1.738 | -18.5 |
Dec-25 | 1.666 | -25.7 |
Feb-26 | 1.653 | -27.0 |
Mar-26 | 1.644 | -27.9 |
Apr-26 | 1.649 | -27.4 |
Jun-26 | 1.662 | -26.1 |
Source: MNI/Bloomberg Finance L.P. |
Gilts rally a little, with core global FI off late Friday/Asia lows and oil off Asia highs.
More rolling Positions requirements will be in Focus this Week, CME FX will be first with Expiry next Monday, and expect Equities to start towards the end of the Week, triple Witching is on the 20th June:
FX ROLL PACE: