3M Euribor fixing likely to decline to -7bp

Euribor fixings have continued to decline, more pronounced at the short tenors, with the 1m dropping 0.8bp over the past week to -9.9bp, while 12m Euribor posted a marginal increase (+0.1bp to 16bp). 

Since Euribor panel banks that submit the Euribor contribution have also to consider verifiable market data as "input to informing the daily quote submissions"1 , the different dynamic at the long part of the Euribor curve might be due to some factors, which has limited the declines in rates compared with shorter maturities.

"Given the abundant liquidity for a long period and the ECB maintaining its very accommodative stance with no change in policy rates, Euribor fixings are expected to continue to creep down, with 3m Euribor bottoming at -7bp by Q1 16 and to stabilise at around this level as long as the liquidity conditions remain abundant. This forecast is based on expectations of 3m Eonia being about -17bp and Fra/OIS (a proxy for the credit premium) being stable at 10bp", says Barclays.