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Euribor Weaker, ECB Cut Pricing Moderates Further

STIR

The degree of 2024 ECB rate cuts priced by ECB-dated OIS contracts has fallen to levels not seen since late November/early December, as STIR markets follow the move lower in core bond markets

  • There are currently 130bps of cuts priced through 2024, down from 136bps this morning and around 150bps on Monday.
  • Euribor futures are 1.5-7.5 ticks lower, with the Whites and Reds under the most pressure.
  • European headline flow has been light, with a largely flow-centric move in Tsys noted, pushing back against this morning’s UK & German data-inspired rally.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jan-243.905-0.20
Mar-243.867-4.0
Apr-243.741-16.6
Jun-243.474-43.3
Jul-243.231-67.6
Sep-242.988-91.9
Oct-242.797-111.0
Dec-242.609-129.8

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