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Euribor Strip A Touch Firmer, Nearly 50bp Of ECB Cuts Priced Through June

STIR

Contracts on the Euribor strip are 0.5-3.0 ticks firmer this morning, as core FI markets tick away from lows.

  • Late yesterday, ECB's Nagel reiterated familiar messaging r.e. rate cuts will depend on incoming data. Previously he had noted that the ECB should wait until the "summer break" to mull potential easing.
  • ECB-dated OIS contracts have edged away from yesterday's extremes, currently pricing 138bps of rate cuts through 2024.
  • ~20bp of cuts are priced through the ECB’s April ’24 meeting (~80% odds of a 25bp cut over that horizon), with a cumulative ~49bp of cuts showing through the June ’24 gathering (near enough fully pricing 2x 25bp cuts).
  • The latest Reuters survey saw 45% of respondents starting of ECB easing cycle at the June gathering. See here: https://www.reuters.com/markets/europe/expectation...
  • The account of the ECB's December meeting will be released at 1230 GMT/1330 CET, while President Lagarde speaks in Davos at 1515GMT/1615 CET (though major deviations from yesterday's rhetoric are not expected).
Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jan-243.9040.00
Mar-243.854-5.0
Apr-243.701-20.3
Jun-243.416-48.8
Jul-243.164-74.0
Sep-242.916-98.9
Oct-242.720-118.4
Dec-242.524-138.0
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