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Euribor Strip Firms Alongside Global Core FI; ECB Cut Pricing Deepens

STIR

The Euribor strip is +0.5 to +5.0 through the Blues compared to yesterday's settlement levels, as global core FI has firmed post-US CPI.

  • Factors contributing to global core FI bid have been detailed elsewhere. There has been a pullback from best levels in that move in recent trade, which has seen Euribor tick away from best levels.
  • ECB-dated OIS contracts price 145bps of rate cuts through 2024 vs. ~141bp at yesterday’s close.
  • Today's Eurozone data docket is light, with final HICP prints from France (which was in line with the flash) and Spain (also in line) already crossing.
  • ECB's Lane speaks at a conference on "Post-Pandemic Economic Governance and Next Generation EU" at 1230 GMT / 1330 CET.
  • US PPI data will be eyed, with focus on its implications for the US PCE reading.
Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jan-243.903-0.24
Mar-243.821-8.4
Apr-243.625-28.0
Jun-243.322-58.3
Jul-243.057-84.8
Sep-242.817-108.8
Oct-242.627-127.8
Dec-242.451-145.4

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