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Moves In Core FI Yields Prompts Unwind Of ECB Cut Pricing

STIR

The latest extension higher for global core FI yields biases ECB implied rates higher, prompting an unwind of ECB cut pricing this year: 94bps of cuts priced through the remainder of '24 vs over 100bps at the start of the week.

  • Little notable headline flow to explain the latest moves in yields, with a continuation post-US CPI price action seemingly at the fore.
  • The Dec 24 Euribor future sits just above 97.000, currently 5 ticks lower on the day.
  • Short-end futures are flat to -5.5 ticks overall, with the back of the whites/front of the reds under the most pressure.
  • Tomorrow's regional docket is quiet, with January Eurozone Industrial Production the main data release to note.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Apr-243.882-2.2
Jun-243.682-22.2
Jul-243.519-38.6
Sep-243.313-59.1
Oct-243.149-75.5
Dec-242.965-93.9
Jan-252.819-108.5
Mar-252.668-123.6
Source: MNI/Bloomberg
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