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Euribor Strip Little Changed; ECB-speak Eyed

STIR

The Euribor strip is -1.5 to +1.0 ticks through the Blues. A light flattening bias has been observed.

  • The latest speech from ECB's de Guindos did not prompt meaningful market moves. He noted that "high wage pressures, the outcome of upcoming wage negotiations and intensifying geopolitical tensions add on uncertainty around the future path of inflation".
  • Late Tuesday, BdF's Villeroy reiterated previous comments, stating that the ECB's policy rate would be cut in 2024 once evidence that the inflation outlook has settled at the 2% target is apparent.
  • ECB-dated OIS contracts currently price 141bps of rate cuts through 2024, with the first cut still more than priced through the April meeting.
  • Today's local data docket is relatively light, with main focus on ECB speak from Executive Board member Schnabel at 1400GMT/1500CET.
    Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
    Jan-243.903-0.10
    Mar-243.808-9.6
    Apr-243.610-29.4
    Jun-243.333-57.1
    Jul-243.086-81.8
    Sep-242.861-104.3
    Oct-242.672-123.2
    Dec-242.493-141.1
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