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ECB Pricing Little Changed, Just Over 40bp Of ’24 Cuts Priced

STIR

ECB-dated OIS is flat, showing ~19bp of cuts through the Sep meeting, virtually a full cut through the Oct decision and ~40.5bp of cumulative cuts through year end.

  • Euribor futures are either side of unchanged, -0.5 to -2.0.
  • An FT piece has noted that ECB members have warned “that risks including trade tensions and high government debt are piling up.”
  • The officials were “broadly in agreement that inflation was heading in the right direction.”
  • They also stated that it was too early to speculate about whether they could be forced to intervene in OATs if France suffered a “Liz Truss moment.”
  • The piece shouldn’t be a major market mover but gives some deeper insight into the thoughts of several GC members.
  • Elsewhere, Bank of Greece Governor Stournaras reiterated his previous view as he noted that 2 further rate cuts in ’24 seem “reasonable.”
  • Softer-than-expected German factory orders had no lasting impact
  • The accounts of the ECB’s June meeting are due today, with comments from ECB’s Lane & Cipollone also scheduled.
  • Swiss CPI data (due 07:30 London) may provide some spill over.
  • A U.S. holiday will limit wider liquidity.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Jul-243.654-0.9
Sep-243.476-18.7
Oct-243.414-24.9
Dec-243.257-40.6
Jan-253.193-47.0
Mar-253.075-58.8
Apr-253.005-65.8
Jun-252.811-85.2
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ECB-dated OIS is flat, showing ~19bp of cuts through the Sep meeting, virtually a full cut through the Oct decision and ~40.5bp of cumulative cuts through year end.

  • Euribor futures are either side of unchanged, -0.5 to -2.0.
  • An FT piece has noted that ECB members have warned “that risks including trade tensions and high government debt are piling up.”
  • The officials were “broadly in agreement that inflation was heading in the right direction.”
  • They also stated that it was too early to speculate about whether they could be forced to intervene in OATs if France suffered a “Liz Truss moment.”
  • The piece shouldn’t be a major market mover but gives some deeper insight into the thoughts of several GC members.
  • Elsewhere, Bank of Greece Governor Stournaras reiterated his previous view as he noted that 2 further rate cuts in ’24 seem “reasonable.”
  • Softer-than-expected German factory orders had no lasting impact
  • The accounts of the ECB’s June meeting are due today, with comments from ECB’s Lane & Cipollone also scheduled.
  • Swiss CPI data (due 07:30 London) may provide some spill over.
  • A U.S. holiday will limit wider liquidity.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Jul-243.654-0.9
Sep-243.476-18.7
Oct-243.414-24.9
Dec-243.257-40.6
Jan-253.193-47.0
Mar-253.075-58.8
Apr-253.005-65.8
Jun-252.811-85.2