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ECB Implied Rates Remain Within Recent Ranges

STIR

Euribor futures are -2.5 to +0.5 through the blues.

  • ECB-dated OIS contracts continue to operate within recent ranges.
  • 93bps of ECB cuts priced through ‘24, little changed vs. yesterday.
  • Yesterday evening, the MNI Policy Team released an exclusive interview with Maltese CB Governor and ECB dove Scicluna (here).
  • Scicluna maintained his dovish stance (open to a March cut), but noted that inflation sceptics had the "upper hand" amongst the Governing Council.
  • All else equal, this supports current market pricing, which sees the first 25bp cut fully priced through the June ’24 meeting.
  • Today's calendar is highlighted by the European Commission’s sentiment survey.
  • There is also a scheduled appearance from the ECB's Muller (0900GMT/1000CET), though he is set to focus on the Estonian banking sector.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.903-0.2
Apr-243.842-6.3
Jun-243.652-25.3
Jul-243.501-40.4
Sep-243.304-60.1
Oct-243.147-75.8
Dec-242.974-93.1
Jan-252.836-106.9
Source: MNI/Bloomberg

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