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Euribor Futures Off Lows Alongside Wider Core FI

STIR

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-243.679-22.8
Jul-243.622-28.5
Sep-243.443-46.5
Oct-243.372-53.5
Dec-243.233-67.4
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