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Euribor Strip Softer, 2024 ECB Cuts Pared Back Slightly

STIR

The Euribor strip sits lower through the Reds/Blues vs Friday settlement levels. Headline flow over the weekend was light, while comments from de Guindos this morning have reiterated previous rhetoric from Lagarde r.e. policy rates staying sufficiently restrictive for as long as necessary.

  • Contracts are +0.5 ticks higher to -2.0 ticks lower at the Whites, and -1.5 to -2.5 ticks lower at the Reds.
  • Earlier we noted better volume at the back-end of the strip vs the front (especially at the Dec 2025 contract), some of which was related to an ERU5/ERZ5 spread seller.
  • ECB-dated OIS contracts continue to pare back cut pricing through 2024, with markets currently pricing around 85bps of cuts by the December 2024 meeting vs the current ESTR effective rate, down from just over 90bps at the start of last week.
  • Today's agenda is thin in the Euro area, with no ECB-speak nor data currently scheduled.
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