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Euribor Futures Hold Yesterday’s Rally Ahead of US CPI

STIR

Euribor futures are broadly unchanged through the blues, with participants looking ahead to impending events risk (US CPI today, ECB decision tomorrow).

  • ECB-dated OIS contracts price 22bps of cuts through the June meeting, with 87bps of cumulative cuts priced for ’24.
  • MNI's preview of the upcoming ECB meeting is here.
  • With limited expectations of the ECB changing tack ahead of a presumptive June cut, any adjustment to the official communication this week would represent a minor surprise.
  • Today’s regional calendar is quiet ahead of US CPI, which is scheduled for 1330GMT/1430CET.


  • Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
    Apr-243.906-0.3
    Jun-243.687-22.2
    Jul-243.540-36.9
    Sep-243.346-56.3
    Oct-243.217-69.2
    Dec-243.043-86.6
    Jan-252.929-98.0
    Mar-252.791-111.8
    Source: MNI/Bloomberg

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