Euribor Firms, ECB-Dated OIS Stabilises after Recent Removal Of '24 Rate Cut Pricing

The firmer-than-expected German factory orders data has helped cap the move away from yesterday’s session lows in wider core global FI markets, leaving Euribor futures running +1.0 to +3.0 through the blues, a little shy of best levels.

• ECB dated OIS is little changed to ~1.5bp lower on the day, with ~128bp of cuts showing across ’24.
• A reminder that participants did not want to push end '24 pricing meaningfully below 125bp of cuts on Monday, despite a couple of limited forays beyond that marker.
• Further forwards, Apr ’24 ECB pricing sits at ~16bp of cuts (~64% odds of a 25bp cut come the end of that gathering). The recent unwind of some of the easing priced in for '24 has not seen a test of the 50/50 rate cut odds in that metric.
• The ECB inflation expectations survey and Eurozone retail sales data headline the Eurozone data docket today.