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Euribor Strip Weaker; Eurozone HICP Eyed

STIR

Euribor futures are -1.0 to -3.5 through the blues, as core global bond markets move away from yesterday's highest levels.

  • ECB-dated OIS contracts price 88bps of rate cuts through the remainder of 2024, vs. 93bps yesterday afternoon.
  • Eurozone flash inflation data headlines this morning's Eurozone calendar (1000GMT/1100CET).
  • Following yesterday's French, German and Spanish prints, analysts have cited upside risks to the core HICP consensus at 2.9% Y/Y.
  • Current tracking from Goldman Sachs, Morgan Stanley, Barclays and Citi suggest core HICP may print at 3.0-3.1% Y/Y.
  • This comes even as Bank of Italy Governor Panetta noted that "inflation is falling faster than expected" after hours, although his views are not surprising given his well-known dovish stance.
  • Today's run of manufacturing PMIs will also be eyed.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.9051.8
Apr-243.868-1.9
Jun-243.680-20.7
Jul-243.533-35.4
Sep-243.334-55.3
Oct-243.177-71.0
Dec-243.010-87.7
Jan-252.878-100.9
Source: MNI/Bloomberg

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