Free Trial

Euribor Strip Off Intraday Lows; 143bps of ECB Cuts Priced Through 2024

STIR

Global core FI markets have almost fully reversed the initial sell-off seen in the wake of the U.S. NFP data, leaving Euribor futures 4-12 ticks lower through the Blues, with Reds under the most pressure.

  • As noted above, the internals of the US labour market report seem weaker than the headline readings, prompting the reversal.
  • ECB-dated OIS contracts now price 143bps of rate cuts through 2024, down from the ~150bps that was priced this morning.
  • The first full cut remains more-than fully priced through the April meeting.
Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jan-243.898-0.40
Mar-243.798-10.4
Apr-243.603-29.9
Jun-243.322-58.0
Jul-243.076-82.6
Sep-242.848-105.5
Oct-242.658-124.4
Dec-242.475-142.7

To read the full story

Close

Why MNI

MNI is the leading provider

of intelligence and analysis on the Global Fixed Income, Foreign Exchange and Energy markets. We use an innovative combination of real-time analysis, deep fundamental research and journalism to provide unique and actionable insights for traders and investors. Our "All signal, no noise" approach drives an intelligence service that is succinct and timely, which is highly regarded by our time constrained client base.

Our Head Office is in London with offices in Chicago, Washington and Beijing, as well as an on the ground presence in other major financial centres across the world.