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Euribor Strip A Touch Firmer vs Friday's Settlement, But Off Best Levels

STIR

The Euribor strip has pulled back from best levels alongside Bunds, currently -0.5 to +2.5 vs Friday's settlement levels.

  • ECB-dated OIS contracts price 130bps of rate cuts through 2024, up from a low of around 128bps last Friday.
  • The ECB is in its pre-meeting quiet period pre-meeting quiet period ahead of Thursday's meeting, where main market interest will lie on the degree of pushback against current rate cut pricing.
  • Other than the usually dovish Mario Centeno (Bank of Portugal Governor), speakers have pushed back against the idea of rate cuts before the summer period. MNI sources last week saw an early consensus forming for a first cut in June, however "significant" further easing of inflationary pressure could prompt the first cut to shift to April.
  • Today's regional data docket is light, with a a slew of survey data including the flash PMIs and the IFO due later this week.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jan-243.9050.10
Mar-243.866-3.9
Apr-243.740-16.4
Jun-243.463-44.1
Jul-243.218-68.6
Sep-242.973-93.1
Oct-242.785-111.9
Dec-242.600-130.4

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