The tentative relief in the money markets has gathered some momentum aided by:
1) an ECB highlighting that they are not going to take their foot off the accelerator, and
2) a surprise downward revision to US Q1 GDP. 12x24 EONIA is down to 38.5bp (mids) while the Euribor strip is some 2-3 ticks higher across the curve.
We had suggested two trades involving receiving 12x24 EONIA at 45bp (stop at 60bps) and a Jun5 Euribor call spread with 99.375-99.500 strikes.
On the latter, Jun5 Euribor is currently at 99.20, so moving in the right direction.
We should get further relief following the ECB meeting next week which will more clearly state the case for the ECB keeping policy on an accommodative stance although highlighting the need for governments to do their bit (Full Story).
