STIR: Euribor Futures Softer Ahead Of EZ Flash October Inflation
Oct-31 07:37
Euribor futures are -1.5 to -6.5. ticks through the blues after yesterday afternoon’s selloff extended post-settlement. ERZ5 is -6.5 ticks at 97.910, with support at the October 10 low of 97.870.
- Eurozone-wide flash October inflation headlines today’s regional calendar at 1000GMT/1100CET, with French data due at 0745GMT.
- National-level data received yesterday and this morning suggests upside risks to the 1.9% Y/Y consensus.
- ECB-dated OIS assign just under a 20% implied probability of a 50bp cut in December, down from 40% yesterday morning. Alongside the firm German flash inflation data, stronger-than-expected Eurozone Q3 flash GDP and fallout from the UK budget drove yesterday’s hawkish repricing in EUR STIRs.
- ECB President Lagarde’s interview with LeMonde (released this morning) did not add much new to the policy debate. Barring a major shock, inflation will return sustainably to the 2% target “during the course of 2025”.
- ECB’s Panetta, Escriva and Knot speak this morning, the latter two at the 2024 Santander International Banking Conference.
| Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Effective ESTR Rate (bp) |
| Dec-24 | 2.868 | -29.7 |
| Jan-25 | 2.582 | -58.4 |
| Mar-25 | 2.331 | -83.4 |
| Apr-25 | 2.196 | -96.9 |
| Jun-25 | 2.065 | -110.0 |
| Jul-25 | 2.002 | -116.3 |
| Sep-25 | 1.967 | -119.8 |
| Oct-25 | 1.955 | -121.0 |
| Source: MNI/Bloomberg. | ||
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EGBS: Rallying, OATs Outperform
Oct-01 07:37
Bunds through initial resistance on the broader risk-off price action flagged earlier.
- Futures trade as high as 135.38, before easing back to 135.30.
- The September 27 high (135.19) has been breached, with bulls now eying the September 11 peak (135.49).
- German yields 1-4bp lower, curve bull flattens.
- Only GGBs widen vs. Bunds at the 10-Year point, with the remainder of the spreads we actively monitor little changed to tighter.
- OATs the outperformer, seemingly benefitting from increased odds of French fiscal tightening following the headlines that we outlined earlier (PM Barnier is set to present these measures at 15:00 CET).
- OAT/Bunds 2bp tighter at 77bp.
- No tangible reaction in EU bonds following the announcement of the impending launch of the EU-bond repo facility (October 7).
- Likewise, no tangible reaction in SPGB spreads following firmer-than-expected Spanish manufacturing PMI data.
GILTS: Bid On Wider Risk-Off Flow
Oct-01 07:25
Gilts rally from opening lows alongside the broader risk-off price action flagged previously, still no clear headline driver.
- Futures trade as high as 98.80 before easing back to 98.70.
- The bearish technical threat remains present in the contract after the recent pullback.
- Friday’s high (98.94) protects the 20-day EMA (99.40), while initial support comes in at yesterday’s low (98.30).
- Yields 1.0-2.5bp lower across the curve, flattening seen.
- BoE-dated OIS little changed to 2bp more dovish vs. levels flagged ahead of the gilt open.
- 23bp of cuts priced for Nov, 36bp of cuts priced through year-end and 117bp of cuts priced through June ’25.
- SONIA futures recover from lows, last -1.5 to +3.0.
- Final m’fing PMI and the DMO’s auction of GBP2.25bln of the short 20-year 4.75% Oct-43 gilt due today.
MNI: SPAIN SEP MANUFACTURING PMI 53.0 (FCAST 50.2, AUG 50.5)
Oct-01 07:25
- SPAIN SEP MANUFACTURING PMI 53.0 (FCAST 50.2, AUG 50.5)
