SONIA OPTIONS: Mid Curve Call Spread
Mar-18 09:42
0NM6 96.30/96.60cs, bought for 9.5 in 10k....
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EQUITY OPTIONS: Estoxx ratio Put Spread
Feb-16 08:52
SX5E (17th Apr) 5500/5000ps 1x2, bought for 9.5 in 5k.
STIR: ERM6/M7 Spread Through October Lows, ECB Hike Expectations Fading
Feb-16 08:49
The Euribor strip is biased a little flatter once again, with ERM6/M7 current at +3.5 ticks and trying to consolidate below the October 2025 low. The spread has flattened over 10 ticks since February 4, with the case for ECB rate hikes considered a distance prospect.
- ECB-dated OIS price 9.5bps of easing through year-end, up from 6bps at the Feb 4 close. Lingering downside inflation risks and potentially some German fiscal impulse-related uncertainty has kept a moderate easing bias intact. More recent dovish repricing has largely been spillover from SOFR counterparts and broader risk asset volatility.
- Overall, the bar to another ECB rate cut is still high, and would require a material undershoot of ECB inflation projections (potentially both the September and December iterations) and a weakening of activity momentum.
- The 1y1y ESTR rate (1.94%) is now essentially back in line with the overnight rate (1.93%).
- Over the weekend, the ECB announced enhancements to its central bank repo facility. This was expected following the February press conference and subsequent source reports.
- This week’s regional calendar is headlined by the February flash PMIs on Friday.
Figure 1: ERM6/M7 Spread (Source: Bloomberg Finance L.P)
| Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Effective ESTR Rate (bp) |
| Mar-26 | 1.926 | -0.4 |
| Apr-26 | 1.917 | -1.3 |
| Jun-26 | 1.893 | -3.7 |
| Jul-26 | 1.884 | -4.6 |
| Sep-26 | 1.854 | -7.6 |
| Oct-26 | 1.842 | -8.9 |
| Dec-26 | 1.835 | -9.5 |
| Jan-27 | 1.843 | -8.7 |
| Mar-27 | 1.855 | -7.5 |
| Source: MNI/Bloomberg Finance L.P. | ||
EGB SYNDICATION: Slovenia 10-year Tap - Guidance
Feb-16 08:42
- Tap of 3.275% Mar-36 SLOREP
- The Mar-36 SLOREP was launched via syndication in January. E1.75bln was sold with a book size of E10bln. The last syndicated tap of a EUR SLOREP benchmark was in September 2024, where E0.75bln of the 3.00% Mar-34 SLOREP was sold.
- Guidance MS+40 Area
- Settlement: Feb. 23, 2026
- Bookrunners: BNPP (B&D), DB, ERSTE, JPM
- Timing: May price today.
Source: Bloomberg/MNI colour
