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STIR: Euribor Strip Twist Steepens, Lane Speech Eyed At 16:30GMT

STIR
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The Euribor strip has twist steepened today, with whites -0.5 to -3.0 ticks and reds-blues flat to +7.0 ticks versus Friday’s settlement.  A pullback in 50bp rate cut expectations for the December meeting has pressured the front of the strip, with the broader recovery in core FI (on this afternoon’s pullback in crude oil prices) providing more support further out.

  • ECB-dated OIS price 34bps of easing through December, down from ~37.5bps at Friday’s close.
  • This light hawkish repricing could be attributed to a lack of commitment (or at least, openness to support) to a 50bp cut from ECB’s Lane and Kazaks this morning.
  • However, we note that Lane’s interview with Les Echos was conducted prior to the November flash PMIs. Meanwhile, Kazaks is generally considered a hawkish-leaning/centrist figure, whose comments this morning were already more dovish compared to when he last referenced the December meeting on October 24.
  • See our latest weekly ECB-speak wrap for more.
  • Chief Economist Lane will deliver a keynote speech at the Bank of England Watchers' Conference at 16:30GMT/17:30CET. This will be a better opportunity to gauge any post-PMI view shifts compared to the interview released this morning,

 

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The Euribor strip has twist steepened today, with whites -0.5 to -3.0 ticks and reds-blues flat to +7.0 ticks versus Friday’s settlement.  A pullback in 50bp rate cut expectations for the December meeting has pressured the front of the strip, with the broader recovery in core FI (on this afternoon’s pullback in crude oil prices) providing more support further out.

  • ECB-dated OIS price 34bps of easing through December, down from ~37.5bps at Friday’s close.
  • This light hawkish repricing could be attributed to a lack of commitment (or at least, openness to support) to a 50bp cut from ECB’s Lane and Kazaks this morning.
  • However, we note that Lane’s interview with Les Echos was conducted prior to the November flash PMIs. Meanwhile, Kazaks is generally considered a hawkish-leaning/centrist figure, whose comments this morning were already more dovish compared to when he last referenced the December meeting on October 24.
  • See our latest weekly ECB-speak wrap for more.
  • Chief Economist Lane will deliver a keynote speech at the Bank of England Watchers' Conference at 16:30GMT/17:30CET. This will be a better opportunity to gauge any post-PMI view shifts compared to the interview released this morning,

 

Keep reading...Show less