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Euribor Strip Softer On BoJ Spillover; 131bps of ECB Cuts Priced Through 2024

STIR

The Euribor strip is -0.5 to -2.0 ticks vs yesterday's settlement levels, with BoJ Governor Ueda's press conference leaning on the hawkish side, as covered elsewhere.

  • ECB-dated OIS contracts price around 131bps of rate cuts through 2024 ahead of Thursday's gathering.
  • When it comes to Thursday’s meeting the major area of market interest will lie on the degree of pushback deployed against current rate cut pricing.
  • Yesterday, Politico reported that over half of respondents to an ECB-staff trade union (Ipso) survey considered President Lagarde's overall performance as "poor" or "very poor".
  • Today's regional docket is highlighted by the ECB Bank Lending Survey, before the data calendar picks up tomorrow with the January flash PMIs.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jan-243.9060.40
Mar-243.872-3.0
Apr-243.757-14.5
Jun-243.471-43.1
Jul-243.221-68.1
Sep-242.967-93.5
Oct-242.773-112.9
Dec-242.587-131.5

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