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Euribor Strip Softer Alongside Global Core FI; 152bps of ECB Cuts Priced Through 2024

STIR

The Euribor strip sits -1.5 to -3.0 ticks vs Friday's settlement levels, as global core FI begins the week on a soft note.

  • A reminder that on Friday afternoon, ECB's Lane pushed back on the notion of fast rate cuts . He reiterated the ECB's view that rate cuts will only be considered once the full set of Q1 national accounts data is available, which will be by the June meeting at the earliest.
  • Lane's comments were largely glossed over by markets at the time, amid the softer-than-expected US PPI print.
  • ECB-dated OIS contracts sit close to levels seen last Friday post-US PPI, with 152bps of cuts priced through 2024.
  • Today's data docket is light, with November IP data highlighting. ECB hawk Holzmann appears at the World Economic Forum at 1415 GMT / 1515 CET. Note that Lagarde and Cipollone are attending a Eurogroup meeting at 0900GMT - no headlines are expected from this event.
  • A reminder that today is a US market holiday.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jan-243.903-0.10
Mar-243.827-7.7
Apr-243.620-28.4
Jun-243.272-63.2
Jul-242.990-91.5
Sep-242.740-116.4
Oct-242.557-134.7
Dec-242.386-151.8

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