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Euribor Moves Alongside Core EGBs; Little Impact From Dhingra/EC Data

STIR

The latest move lower in European STIR markets has come alongside new lows in EGB futures, with ECB implied rates having drifted higher through most of this afternoon.

  • ECB-dated OIS contracts price 104bps of rate cuts through 2024, down from 108bps this morning.
  • The Euribor strip is -1.0 to -6.5 ticks through the blues, with back of the reds/front of the greens under the most pressure.
  • There was little meaningful reaction to comments from BoE's Dhingra at this afternoon's MNI event, nor the EC flash consumer confidence reading which was in line with consensus at -15.5 (vs an upwardly revised -15.9 prior).
  • Tomorrow's docket is highlighted by the February flash PMI round, where the usual focus will be on reported inflation dynamics.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.905-0.6
Apr-243.818-9.3
Jun-243.607-30.4
Jul-243.434-47.8
Sep-243.224-68.8
Oct-243.055-85.6
Dec-242.874-103.7
Jan-252.732-117.9
Source: MNI/Bloomberg
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