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ECB Rate Cut Pricing Steady Ahead Of Flash Inflation Data

STIR

Euribor futures are -0.5 to +1.5 through the blues.

  • ECB-dated OIS contracts continue to operate within familiar ranges, pricing 94bps of rate cuts through 2024.
  • A Reuters sources piece on the ECB's interbank lending rates (see earlier bullet for details) continued to focus on a ‘demand-driven floor’ system post-framework review.
  • Last night, ECB hawk Nagel echoed previous comments in warning against cutting rates too early, while Vasle noted that the timing of the first ECB rate cut "depends on the actual movement of inflation".
  • Today's calendar is headlined by the February flash inflation releases from France, Spain and Germany, where the focus will on the stickiness of services inflation across countries.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.902-0.4
Apr-243.839-6.7
Jun-243.647-25.9
Jul-243.492-41.4
Sep-243.297-60.9
Oct-243.137-76.9
Dec-242.967-93.9
Jan-252.835-107.1
Source: MNI/Bloomberg

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