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3 ECB Cuts Discounted Through ‘24

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Euribor futures have moved a touch higher alongside core global bonds following the RBA decision but remain within yesterday’s ranges, flat to +3.5 ticks.

  • End-24 ECB implied rates drifted a touch higher yesterday, leaving 75bps of cuts priced.
  • A 25bp June cut remains close to fully discounted, with ~23bps of easing priced.
  • Yesterday’s ECB speak saw Simkus note his expectation for three rate cuts this year. Previously, he had said that three or four cuts were possible.
  • Elsewhere, Chief Economist Lane and Vujcic gave little away re: the path for rates beyond the June meeting.
  • ECB speak from de Cos and Nagel is scheduled today, with no real tier 1 data due.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jun-243.679-23.0
Jul-243.600-30.9
Sep-243.403-50.7
Oct-243.319-59.0
Dec-243.163-74.7
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Euribor futures have moved a touch higher alongside core global bonds following the RBA decision but remain within yesterday’s ranges, flat to +3.5 ticks.

  • End-24 ECB implied rates drifted a touch higher yesterday, leaving 75bps of cuts priced.
  • A 25bp June cut remains close to fully discounted, with ~23bps of easing priced.
  • Yesterday’s ECB speak saw Simkus note his expectation for three rate cuts this year. Previously, he had said that three or four cuts were possible.
  • Elsewhere, Chief Economist Lane and Vujcic gave little away re: the path for rates beyond the June meeting.
  • ECB speak from de Cos and Nagel is scheduled today, with no real tier 1 data due.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jun-243.679-23.0
Jul-243.600-30.9
Sep-243.403-50.7
Oct-243.319-59.0
Dec-243.163-74.7