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Afternoon Rally In Global Core FI Buoys Euribor Strip, 150bps Of ECB Cuts Priced Through 2024

STIR

The Euribor strip has drifted away from intraday highs in recent trade, but remains +3.5 to +12.5 through the Blues with the back of the Whites outperforming. ECB-dated OIS contracts now price 152bps of rate cuts through 2024, up from 140bps before this morning's French inflation data.

  • The first full 25bp cut is priced through the April meeting, with 27bps of easing priced at typing.
  • Heavy block buying in futures has been observed, helping to fuel the core FI rally following soft US data (including the MNI Chicago PMI report) alongside a move lower in equity markets.
  • Prior to the above, German flash HICP printed a touch lower than consensus on an annual basis, though stickiness was noted in the services CPI component.
  • After the US Treasury quarterly supply announcement came and went broadly as expected, focus now turns to this evening's Fed decision at 1900GMT/2000CET.
  • Tomorrow, regional interest will be on the Eurozone-wide flash HICP release, while manufacturing PMIs and the Bank of England decision will also draw attention.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.830-7.70
Apr-243.635-27.2
Jun-243.320-58.7
Jul-243.044-86.4
Sep-242.768-113.9
Oct-242.578-132.9
Dec-242.385-152.2
Jan-252.231-167.6
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