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Hawkish Impulses Following ECB Schnabel Interview

STIR

The Euribor strip has drifted away from Asia-Pac session bests following a hawkish interview by ECB Executive Board member Schnabel with the FT, released earlier this morning.

  • Contracts are now +0.5 to +2.5 vs. yesterday's settlement levels.
  • ECB-dated OIS price just under 130bps of rate cuts through 2024, trading broadly within the ranges seen following the strong US labour market release last Friday.
  • In terms of the details, Schnabel reiterated that the "last-mile" of bringing inflation to target "remains a concern", and emphasised the Eurozone's "worrying" recent decline in productivity, which has pushed up labour costs.
  • Today's docket includes industrial production data from Spain and retail sales from Italy. This morning's German industrial production was below consensus, though also saw upward revisions to last-month’s data.
  • Estonian Central Bank Governor Muller is scheduled to speak at 0930GMT/1030CET, though this is in a seminar on "The Swedish Economy and Monetary Policy" with Riksbank Governor Erik Thedéen.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.870-3.78
Apr-243.736-17.2
Jun-243.480-42.8
Jul-243.246-66.2
Sep-243.006-90.2
Oct-242.819-108.9
Dec-242.621-128.7
Jan-252.467-144.1
Source: MNI/Bloomberg

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