The relative outperformance of European FI vs US/UK peers allows the Euribor strip to reach the day's firmest levels.

  • Whites currently sit 1 tick lower to 2.5 ticks higher, while firmness is seen in the Reds through Blues - the latter 6-7 ticks higher vs Friday's settlement levels with an implied yield of 2.39% at the December 2026 contract.
  • There has been little in the way of overt headline flow to explain the cross-border divergence. Prepared text from ECB President Lagarde at a conference this afternoon was not relevant to the near-term policy debate (focusing on principles of good governance).
  • A lack of pushback against recent ECB cut pricing in Lagarde's remarks allows ECB-dated OIS contracts to remain at dovish extremes reached last Friday, with 137bps of cuts currently priced by the December 2024 meeting.
  • Tomorrow's docket is highlighted by the November round of services PMI's and ECB inflation expectations. There are currently no scheduled ECB speakers.

STIR: Euribor Strip At Intraday Highs, ECB Cut Pricing Remains At Dovish Extremes

Last updated at:Dec-04 15:38By: Emil Lundh

The relative outperformance of European FI vs US/UK peers allows the Euribor strip to reach the day's firmest levels.

  • Whites currently sit 1 tick lower to 2.5 ticks higher, while firmness is seen in the Reds through Blues - the latter 6-7 ticks higher vs Friday's settlement levels with an implied yield of 2.39% at the December 2026 contract.
  • There has been little in the way of overt headline flow to explain the cross-border divergence. Prepared text from ECB President Lagarde at a conference this afternoon was not relevant to the near-term policy debate (focusing on principles of good governance).
  • A lack of pushback against recent ECB cut pricing in Lagarde's remarks allows ECB-dated OIS contracts to remain at dovish extremes reached last Friday, with 137bps of cuts currently priced by the December 2024 meeting.
  • Tomorrow's docket is highlighted by the November round of services PMI's and ECB inflation expectations. There are currently no scheduled ECB speakers.

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