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Euribor Strip A Touch Firmer Following Weekend ECB-speak

STIR

The Euribor strip is +0.5 to +3.0 ticks through the blues, having tracked moves in wider global core FI overnight.

  • ECB-dated OIS contracts trade at similar levels to last Friday, with 117bps of rate cuts through 2024, with around 13.5bps of cuts priced through the April meeting (i.e. just over 50% chance of a 25bp rate cut).
  • Weekend ECB-speak largely came leaning doves. Governing Council members Panetta and Centeno noted that when interest rate cuts begin, there will be a preference for gradual easing rather than more rapid adjustments. The former still noted the importance of tracking nominal wage growth data, even though the "the time for reversal of the monetary policy stance is fast approaching".
  • Bank of Spain Governor de Cos pointed to the importance of the ECB's March projections in determining the next step for the rate path.
  • Today's data docket is light, though there are scheduled remarks from ECB Chief Economist Lane at 0945GMT and 1315GMT and Executive Board member Cipollone at 1550GMT (though the latter is unlikely to be monetary policy-related).

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.886-2.4
Apr-243.775-13.5
Jun-243.544-36.6
Jul-243.337-57.3
Sep-243.109-80.1
Oct-242.929-98.1
Dec-242.738-117.2
Jan-252.591-131.9
Source: MNI/Bloomberg
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