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Euribor Strip Little Changed With US CPI In View

STIR

The Euribor strip is little changed vs yesterday's settlement levels, with contracts showing -0.5 to +1.5 through the Blues.

  • Amid little other notable news flow, ECB-speak yesterday reaffirmed the view re: a weak growth outlook for the Eurozone, with familiar rhetoric from de Guindos, Schnabel and de Cos seen.
  • None of the three chose to put a time frame on potential rate cuts. Schnabel sounded the most hawkish on rates, which weighed on Euribor/promoted some pay-side flow in OIS in the second half of the afternoon.
  • ECB-dated OIS contracts sit close to levels seen yesterday afternoon, with 138bps of cuts priced through 2024 at typing.
  • Today's local docket features industrial production data from Italy and ECB-speak from President Lagarde and the usually hawkish Vujcic (the latter will speak at an MNI event, as well as at a local university).
  • More broadly, market interest centres on US CPI (1330 GMT/1430 CET).
    Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
    Jan-243.904-0.23
    Mar-243.822-8.4
    Apr-243.636-27.0
    Jun-243.361-54.5
    Jul-243.119-78.7
    Sep-242.891-101.5
    Oct-242.704-120.2
    Dec-242.524-138.2

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