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ECB Implied Rates Drift Higher

STIR

We haven't seen any notable headline flow to explain the latest weakness in European STIR markets, with global issuance matters dominating in the wider FI space.

  • The Euribor strip is -1.0 to -6.5 through the blues, with the back of the whites/front of the reds under the most pressure.
  • ECB implied rates have drifted higher through the day, with 93bps of cuts priced by ECB-dated OIS through the remainder of 2024 (vs 100bps this morning).
  • ECB speak continues to push back on the need for imminent rate cuts, with the usually dovish Stournaras continuing to point to June ’24 re: likely timing of the first move.
  • This is roughly in line with current market pricing.
  • Pricing re: the total of ’24 cuts continues to operate within the recently established range.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.905-0.2
Apr-243.845-6.2
Jun-243.662-24.5
Jul-243.511-39.6
Sep-243.315-59.3
Oct-243.149-75.8
Dec-242.975-93.2
Jan-252.835-107.2
Source: MNI/Bloomberg

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