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Euribor Fixing Supports Front End Of Strip, ECB Pricing Looks Through Holzmann's Comments

STIR

The Euribor futures strip sees some very modest twisting pressure on the day.

  • Contracts through the middle of the reds are little changed to 1.5bp firmer, with the front end of the whites outperforming. The back of the reds through blues sit 0.5-2.0bp softer on the day.
  • As we flagged earlier, the move lower in the 3-month Euribor fixing supported the very front of the strip.
  • Meanwhile, the back end of the strip stabilised around the same time that EGBs found a base.
  • Comments from ECB hawk Holzmann did little for ECB pricing. He suggested that rate cuts in ’24 aren’t guaranteed, stressing that is premature to think about lower interest rates. Holzmann reiterated his belief that reaching the ECB’s 2% inflation goal will be “challenging.”
  • ECB-dated OIS is relatively in line with levels flagged early this morning, with ~168bp of cuts showing through ’24.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Jan-243.889-1.1
Mar-243.728-17.2
Apr-243.478-42.3
Jun-243.153-74.7
Jul-242.856-104.4
Sep-242.601-129.9
Oct-242.403-149.7
Dec-242.216-168.4
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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