STIR: Euribor Implied Terminal Rate Unchanged Since June ECB
Front-end Euribor futures have traded in relatively contained ranges since the ECB’s more cautious-than-expected June 5 decision. The Euribor implied terminal rate (indicated by the H6 contract) is currently 1.79%, compared to 1.80% at the June 6 close. As such, market pricing remains consistent with one more 25bp ECB cut this cycle, with some uncertainty as to whether this will be delivered at the September or December macroeconomic projection meetings. Economic data since June has generally confirmed the ECB’s outlook, while there remains too much uncertainty around tariff negotiations to support a meaningful deviation from the current baseline.
- Markets do not expect any rate or guidance changes at next Thursday’s ECB decision. Focus will be on President Lagarde’s characterisation of risks at the press conference, which will help assess the plausibility of a move into accommodative territory (e.g. a terminal rate of 1.50%) following the latest US-EU tariff escalation. The bar to more dovish surprises has been raised in recent weeks though, with several hawkish members of the Governing Council arguing for rates to be held steady going forward.
- Euribor futures are -1.5 to -3.0 ticks through the blues, with futures softening a little alongside Bunds. ECB-dated OIS price 27bps of cuts through March, 1.3bps more hawkish than yesterday’s close.
- Today’s regional calendar includes the May Eurozone current account and construction output – neither usually market movers. German June PPI was in line with consensus earlier.
| Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Effective ESTR Rate (bp) |
| Jul-25 | 1.922 | -0.2 |
| Sep-25 | 1.818 | -10.5 |
| Oct-25 | 1.787 | -13.6 |
| Dec-25 | 1.696 | -22.7 |
| Feb-26 | 1.680 | -24.3 |
| Mar-26 | 1.653 | -27.0 |
| Apr-26 | 1.658 | -26.5 |
| Jun-26 | 1.662 | -26.1 |
| Source: MNI/Bloomberg Finance L.P. | ||
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USDCAD TECHS: Fresh Cycle Low
- RES 4: 1.4200 Round number resistance
- RES 3: 1.4111 High Apr 4
- RES 2: 1.3843/1.4016 50-day EMA / High May 12 and 13
- RES 1: 1.3713 20-day EMA
- PRICE: 1.3652 @ 08:05 BST Jun 18
- SUP 1: 1.3540/3517 Low Jun 16 / 1.0% 10-dma envelope
- SUP 2: 1.3503 1.618 proj of the Feb 3 - 14 - Mar 4 price swing
- SUP 3: 1.3473 Low Oct 2 2024
- SUP 4: 1.3410 1.764 proj of the Feb 3 - 14 - Mar 4 price swing
The trend needle in USDCAD points south and fresh cycle lows last week and again on Monday, reinforce a bearish theme. Short-term gains are considered corrective. Support at 1.3686, the May 26 low and a bear trigger, has been cleared, confirming a resumption of the downtrend. This maintains the price sequence of lower lows and lower highs. Sights are on 1.3517 next, envelope-based support. Resistance at the 20-day EMA is at 1.3713.
STIR: Euribor Implied Yield Changes Since Last Thursday Remains Fairly Contained
Although the ongoing conflict between Israel and Iran presents a new upside risk to the inflation outlook, changes in Euribor implied yields have been relatively contained since last Thursday’s settlement. Implied yields across the strip have increased 3-6bps across the past four sessions - not enough to materially change the outlook for ECB policy.
- The Euribor implied terminal rate is still indicated by the H6 contract, and is currently 1.82%.
- The curve remains notably more dovish than compared to the April 2 (i.e. pre-Liberation Day) settlement.
- ECB-dated OIS are little changed compared to yesterday’s close, with one more 25bp cut fully priced through the next 12 months.
- Several ECB speakers are due this morning. While they may reference the latest tensions as a risk to the outlook, and a justification of the ECB’s more cautious stance since June, meaningful new policy signals are not expected.
- Final Eurozone May HICP is due at 1000BST. Focus will be on the details, particularly to what extent the services deceleration (3.2% flash vs 4.0% prior) was driven by travel/Easter-sensitive categories.
| Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Effective ESTR Rate (bp) |
| Jul-25 | 1.912 | -1.2 |
| Sep-25 | 1.807 | -11.7 |
| Oct-25 | 1.773 | -15.1 |
| Dec-25 | 1.706 | -21.8 |
| Feb-26 | 1.696 | -22.9 |
| Mar-26 | 1.679 | -24.5 |
| Apr-26 | 1.680 | -24.5 |
| Jun-26 | 1.682 | -24.3 |
| Source: MNI/Bloomberg Finance L.P. | ||
GILT TECHS: (U5) Support Remains Intact
- RES 4: 94.15 2.000 proj of the May 22 - 27 - 29 price swing
- RES 3: 94.00 Round number resistance
- RES 2: 93.73 1.764 proj of the May 22 - 27 - 29 price swing
- RES 1: 93.13./93.68 61.8% of Jun 13 - 16 downleg / High Jun 13
- PRICE: 92.69 @ Close Jun 17
- SUP 1: 92.23 Low Jun 16
- SUP 2: 92.17 20-day EMA
- SUP 3: 91.56 Low Jun 9
- SUP 4: 91.44 Low Jun 8
A bullish condition is Gilt futures remains intact and last Friday’s steep sell-off from the session high is - for now - considered corrective. The move higher last week marks an extension of the recent breach of resistance at 91.87, the May 20 high. This signals scope for a test of 93.73, a Fibonacci projection point. Note the uptrend is in overbought territory, a deeper pullback would unwind this position. Initial firm support lies at 92.17, the 20-day EMA.
