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Euribor Futures Either Side Of Unchanged, 65bp Of ’24 ECB Cuts Priced

STIR

Euribor futures are unchanged to +2.0, with core global FI markets recovering a little from yesterday’s U.S. data-driven sell off.

  • ECB-dated OIS still almost fully discounts a 25bp cut come the end of next month’s monetary policy decision, with ~65bp of cuts then priced through year end.
  • While the pricing of ’24 cuts has moderated from last week’s risk-off driven dovish extremes (which briefly saw over 90bp of cuts priced across the 3 remaining ’24 meetings), markets still lean more towards 3x 25bp cuts than 2x.
  • This is despite the once per quarter cut preference expressed by several Governing Council members in recent weeks.
  • Expect broader risk sentiment to dominate ahead of the weekend, with nothing in the way of major Eurozone data/speakers due today.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Sep-243.415-24.7
Oct-243.280-38.2
Dec-243.016-64.6
Jan-252.850-81.3
Mar-252.639-102.3
Apr-252.523-114.0
Jun-252.374-128.8
Jul-252.308-135.4
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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