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Euribor Futures Off Lows; ~85% Probability of September ECB Cut

STIR

Euribor futures are off overnight lows alongside Bunds, but remain -0.5 to -3.5 ticks through the blues.

  • Futures nonetheless remain comfortably above post-US CPI levels.
  • ECB-dated OIS have held yesterday’s dovish moves, with 46bps of cuts priced through the remainder of ’24 and 21bps of easing priced through the September meeting.
  • Today’s regional calendar does include much market moving data, with US PPI of greater focus this afternoon.
  • The ECB is in its pre-meeting quiet period, meaning any scheduled Governing Council appearances should not touch on monetary policy matters.
  • However, we note that any interviews conducted before the quiet period may still be published.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jul-243.6620.0
Sep-243.450-21.3
Oct-243.382-28.1
Dec-243.204-45.8
Jan-253.128-53.4
Mar-252.977-68.5
Apr-252.898-76.4
Jun-252.745-91.7
Source: MNI/Bloomberg.
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