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Euribor Strip Finds Base; 126bps Of ECB Cuts Priced Through 2024

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The Euribor strip has found a base as e-minis move off intraday highs, but contracts remain flat to -1.0 ticks through the Blues after a volatile start to NY cash equity trade.

  • ECB-dated OIS contracts have withdrawn a small proportion of cuts priced, with 126bps of total ’24 cuts showing vs. 129bps this morning.
  • Regional headline flow has been light otherwise, with tomorrow's data docket also limited. Tomorrow features scheduled remarks from ECB's Lane at 1530GMT/1630CET, with comments from the usually hawkish Vujcic and Wunsch also scheduled at 1100GMT/1200GMT respectively.
Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.877-3.10
Apr-243.752-15.6
Jun-243.494-41.4
Jul-243.264-64.4
Sep-243.027-88.1
Oct-242.842-106.6
Dec-242.645-126.3
Jan-252.494-141.4
Source: MNI/Bloomberg

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