Stabilise Post Payrolls, First ECB Cut Priced Through June Meeting

Core/semi-core EGBs have stabilised after the post-payrolls volatility. Bunds are +46 ticks at 133.80, on track to end the week 1% higher.

• 10-year periphery spreads to Bunds are generally tighter, but Italian and Spanish spreads are as of yet unable to breach key round number supports (130bps for the BTP/Bund spread, and 80bps for the SPGB/Bund spread).
• ECB implied rates continue to sit a touch lower on the day - a combination of dovish ECB speak and the US payrolls reaction. There are 105bps of cuts priced through the remainder of '24.
• The first 25bp ECB cut is fully priced through June, in line with current consensus amongst the Governing Council per today's RTRS sources piece.
• We note that the RTRS sources piece was not a major market mover, with the MNI Policy Team having already reported on Feb 15 that the largest bloc of the Governing Council was coalescing around the June meeting for the first rate cut.
• Next week's Eurozone calendar is quite light, with ECB-speak likely to be at the fore following this week's decision and the release of today's Q4 national accounts data.