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

STIR

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.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Mar-243.871-3.6
Apr-243.746-16.1
Jun-243.488-41.9
Jul-243.249-65.8
Sep-243.010-89.8
Oct-242.823-108.4
Dec-242.629-127.8
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageEuropean Central Bank (ECB) Market NewsBulletMarketsFixed Income BulletsForeign Exchange Bullets
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
HomepageEuropean Central Bank (ECB) Market NewsBulletMarketsFixed Income BulletsForeign Exchange Bullets

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