Euribor Gamma Extends Decline as ECB Hike Pricing Pared on Praet
Alert: HALISTER1
Source: BFW (Bloomberg First Word)
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2539Z GR (European Central Bank)
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UUID: 7947283
(Bloomberg) -- Euribor gamma faded further as fears of early ECB tightening unwind, with Praet comments further endorsing the central bank’s forward guidance.
- March 2018 Euribor 50-delta has faded to 21.4 from YTD peak of 28.7, which was partly fueled by hawkish ECB rhetoric
- Any further unwind of hike expectations will see implieds move lower in tandem; ECB-dated Eonia prices 5bp rate rise by March 2018 vs 11bp on March 24
- Eonia forwards have faded off 2015 highs, with 12x24 back to pre-March ECB levels at -0.24% vs recent peak of -0.15%
- See analysis here from last week highlighting scope for repricing of rate increases and move lower in implieds in the belly of the curve
- NOTE: Tanvir Sandhu is an interest-rate and derivatives strategist who writes for Bloomberg. The observations he makes are his own and are not intended as investment advice
Alert: HALISTER1
Source: BFW (Bloomberg First Word)
Tickers
2539Z GR (European Central Bank)
To de-activate this alert, click here
To modify this alert, click here
UUID: 7947283