May 15, 2024 06:42 GMT
Euribor Futures Off Lows Alongside Wider Core FI
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Euribor futures are -1.0 to +1.5 ticks through the blues, off lows as core FI rallies in early European trade (see our earlier comment for a potential driver of the uptick).
- Contracts nonetheless remain within yesterday’s ranges.
- ECB-dated OIS price 67bps of cuts through year end (vs 66bps yesterday afternoon).
- Comments from the EBC’s Villeroy offered little new, reaffirming the likelihood of a first ECB rate cut in June.
- OIS continue to discount a ~90% probability of a 25bps cut through the June meeting.
- U.S. CPI headlines today’s global macro calendar at 1330BST, with the Q1 Eurozone preliminary GDP print also due this morning.
- Scheduled ECB speakers include Rehn, Muller, Villeroy and Makhlouf, though the topics of those speeches don’t appear to focus on broader ECB policy.
Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Effective ESTR Rate (bp) |
Jun-24 | 3.679 | -22.8 |
Jul-24 | 3.622 | -28.5 |
Sep-24 | 3.443 | -46.5 |
Oct-24 | 3.372 | -53.5 |
Dec-24 | 3.233 | -67.4 |
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