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Euribor Strip Firmer vs Tuesday's Settlement Ahead Of Jan Inflation Data

STIR

The Euribor strip is +1.5 to +5.0 ticks through the Blues vs yesterday's settlement levels, with the rally seen since yesterday’s settlement helping underpin.

  • ECB-dated OIS contracts price around 143bps of rate cuts through 2024, up from around 140bps yesterday afternoon. The first 25bp rate cut is almost fully priced through the April meeting.
  • Late yesterday, ECB's Lagarde stressed the importance of wage data in determining when monetary easing can begin. This appears an attempt to strengthen the messaging conveyed at last week's ECB press conference, which had originally been viewed as dovish.
  • Softer-than-expected Australian CPI data helped build on yesterday’s late NY rally, with equity weakness post-U.S. large cap tech earnings also eyed.
  • Today's European docket is headlined by the French and German flash January inflation prints, before major US events (QRA and Fed) move to the forefront in the afternoon. We note that the German state North Rhine Westphalia will now report its flash CPI at 0900GMT/1000CET (vs 0630GMT in prior months).

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.851-5.65
Apr-243.671-23.6
Jun-243.378-52.9
Jul-243.121-78.6
Sep-242.871-103.6
Oct-242.676-123.1
Dec-242.472-143.5
Jan-252.315-159.2
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