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Euribor A Touch Lower On Day, ECB Pricing Little Changed

STIR

Euribor futures are generally a touch softer vs. yesterday’s settlement levels given the modest downtick seen in Bund futures in the time since.

  • Contracts through the blues are flat to 2.5bp lower vs. settlement.
  • ECB-dated OIS pricing through ‘24 is little changed, showing ~169bp of cuts through ’24, with the first 25bp cut more than fully discounted come the end of the April ’24 meeting.
  • A quick note that the consensus from the latest FT poll appears to tie in with the market pricing of the timing of the first cut, with the title of the related story noting that “ECB to start cutting interest rates in second quarter of 2024, economists predict.”
  • Spanish and Portugues CPI data headlines the regional docket today.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Jan-243.888-1.2
Mar-243.731-16.9
Apr-243.484-41.6
Jun-243.157-74.3
Jul-242.856-104.4
Sep-242.596-130.4
Oct-242.394-150.6
Dec-242.207-169.3
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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