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Euribor Strip Helped Off Lows By UK Wage Data

STIR

The Euribor strip sits -1.0 to +1.0 ticks vs yesterday's settlement levels, helped off the lows by the internals of today's UK labour market/earnings data (noted elsewhere).

  • ECB push-back against current rate cut pricing continues to dominate the narrative, with BdF's Villeroy not assigning likely timings to the first rate cut in his latest comments (though he once again notes that the next move will be a cut).
  • ECB-dated OIS contracts have continued to pull back rate cut expectations as a result, now pricing 148bps of cuts through 2024 (vs ~149bps yesterday afternoon).
  • The ECB's consumer inflation expectations survey for November alongside the German ZEW survey highlight today's domestic data docket, while cross-border comments Fed's Waller will also be eyed.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jan-243.903-0.10
Mar-243.838-6.7
Apr-243.642-26.2
Jun-243.326-57.8
Jul-243.056-84.8
Sep-242.801-110.3
Oct-242.607-129.7
Dec-242.423-148.1
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