STIR: Year-end ECB Implied Rates 4.5bps More Dovish Post French/German PMIs
Feb-21 08:53
The dovish reaction to the weaker-than-expected French services PMI was slightly tempered by a better-than-expected German manufacturing print. That leaves ECB-dated OIS pricing 78.5bps of easing through year-end, up from 74bps this morning but off the post-French PMI dovish extreme of ~80bps.
- There are now 58bps of easing priced through the June gathering, up from ~55bps before the PMIs.
- OIS now assign a ~65% implied probability of a 25bp cut in April, up from ~55% earlier.
- Euribor futures are +1.5 to +4.5 ticks through the blues, with Z5 and H6 futures briefly showing above 98.000 for the first time this week (Z5 now +4.5 at 98.000 vs a 98.020 high; H6 now +4.5 at 97.995 vs a 98.015 high).
| Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Effective ESTR Rate (bp) |
| Mar-25 | 2.424 | -24.3 |
| Apr-25 | 2.262 | -40.5 |
| Jun-25 | 2.085 | -58.2 |
| Jul-25 | 2.026 | -64.1 |
| Sep-25 | 1.947 | -72.0 |
| Oct-25 | 1.924 | -74.4 |
| Dec-25 | 1.882 | -78.5 |
| Feb-26 | 1.878 | -78.9 |
| Source: MNI/Bloomberg. | ||
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Historical bullets
ECB: Lagarde: Energy Prices "Might Have A Real Impact"
Jan-22 08:40
Lagarde plays down the need for forward guidance, in line with GC colleagues over the last few weeks (e,g Nagel and de Guindos): “We have a method, we will apply the method, and we will take all the data that comes in. And data is going to be fascinating, as I said, the price of energy is going to be something that might have a real impact”.
- Earlier, when speaking about why the ECB has not cut by 50bps yet, Lagarde pointed the earlier start to the cutting cycle (e.g. compared to the Fed).
EGB SYNDICATION: Spain 10-year Obli: Books open
Jan-22 08:32
- Guidance: 3.45% Oct-34 Obli (mid) +8bp area
- Size: EUR benchmark (MNI expects E10-15bln)
- Maturity: 30 April 2035
- Coupon: Short first
- ISIN: ES0000012O67
- Settlement: 29 January 2025 (T+5)
- Bookrunners: BBVA, CACIB, DB (B&D/DM), JPM, MS, SANTANDER
- Timing: Books open, today's business
From market source
BUNDS: BTP/Bund spread targets the December low
Jan-22 08:32
- French OAT and the BTP have been helping the German Bund back through its opening gap, small immediate resistance was seen at 132.14 Yesterday, and the contract printed a 132.15 high, this remains.
- Above that area, it opens to 132.41, but better is seen at 132.57.
- The price action is pushing the BTP/Bund spread towards 106.16bps, the December low, and tightest printed spread since October 2021.
(Chart source: MNI/Bloomberg):
