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ECB Implied Rates Soften After Dovish Fed Reaction

STIR

Euribor futures are off overnight highs but remain firmer vs. settlement on feedthrough from the Fed decision.

  • Euribor futures are flat to +5.5, with the back of the whites & front of the reds outperforming.
  • ECB-dated OIS contracts now price 90bps of cuts through the remainder of '24 (vs ~86bps yesterday afternoon).
  • Late Wednesday saw Bundesbank's Nagel flag more worry re: Europe's economy than Germany's, due to bureaucracy and high taxes in the region.
  • March flash PMIs highlight today's regional data calendar, though markets will also have one eye on wider macro events e.g. the BoE decision.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Apr-243.901-0.7
Jun-243.694-21.4
Jul-243.552-35.6
Sep-243.340-56.8
Oct-243.186-72.2
Dec-243.010-89.8
Jan-252.891-101.7
Mar-252.749-115.9
Source: MNI/Bloomberg

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