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ECB Implied Rates Tick Lower, Nearly 80bp Of '24 Cuts Priced

EURIBOR
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Bund and BTP futures extend on yesterday’s recovery, allowing Euribor futures to print 1-3bp firmer on the day.

  • ECB-dated OIS contracts are a touch softer, showing ~22.5bp of cuts through the June decision, with a cumulative ~79bp of cuts priced by year end.
  • Vice President de Guindos once again steered towards a June cut but remained relatively non-committal beyond that point.
  • A reminder that Monday saw GC dove Centeno point to the potential for more than 100bp of cuts this year (125bp of cuts would equate to a 25bp cut at each of the remaining ’24 meetings).
  • A June cut remains firmly on the table given broader GC guidance; however, divisions remain re: preferences for the the policy path beyond June.
  • Flash PMI readings headline the regional data calendar today.
  • Elsewhere, ECB-speak will come from Nagel and Panetta.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Jun-243.686-22.4
Jul-243.565-34.5
Sep-243.380-53.0
Oct-243.275-63.5
Dec-243.118-79.2
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Bund and BTP futures extend on yesterday’s recovery, allowing Euribor futures to print 1-3bp firmer on the day.

  • ECB-dated OIS contracts are a touch softer, showing ~22.5bp of cuts through the June decision, with a cumulative ~79bp of cuts priced by year end.
  • Vice President de Guindos once again steered towards a June cut but remained relatively non-committal beyond that point.
  • A reminder that Monday saw GC dove Centeno point to the potential for more than 100bp of cuts this year (125bp of cuts would equate to a 25bp cut at each of the remaining ’24 meetings).
  • A June cut remains firmly on the table given broader GC guidance; however, divisions remain re: preferences for the the policy path beyond June.
  • Flash PMI readings headline the regional data calendar today.
  • Elsewhere, ECB-speak will come from Nagel and Panetta.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Jun-243.686-22.4
Jul-243.565-34.5
Sep-243.380-53.0
Oct-243.275-63.5
Dec-243.118-79.2