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Hawkish Fed/BoE Speakers Weigh On Euribor Futures

STIR

Hawkish comments from Fed's Waller and BoE's Haskel have weighed on Euribor futures, though a weak German retail sales release provided some counter.

  • Contracts are flat to -4.5 through the blues.
  • ECB-dated OIS contracts remain within recent ranges, with 90bps of cuts priced through the remainder of '24 and 24bps priced through the June meeting.
  • ECB's Panetta (0900GMT/1000CET) and Villeroy (1730GMT) are scheduled to speak today, with major deviations from the status quo (i.e. June being the likely start date of the cutting cycle) unlikely.
  • A reminder that the next ECB decision comes on April 11.
  • German labour market statistics headline the regional data calendar during the remainder of today.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Apr-243.888-1.8
Jun-243.669-23.7
Jul-243.516-39.0
Sep-243.320-58.6
Oct-243.180-72.6
Dec-243.006-90.0
Jan-252.883-102.3
Mar-252.740-116.6
Source: MNI/Bloomberg
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Hawkish comments from Fed's Waller and BoE's Haskel have weighed on Euribor futures, though a weak German retail sales release provided some counter.

  • Contracts are flat to -4.5 through the blues.
  • ECB-dated OIS contracts remain within recent ranges, with 90bps of cuts priced through the remainder of '24 and 24bps priced through the June meeting.
  • ECB's Panetta (0900GMT/1000CET) and Villeroy (1730GMT) are scheduled to speak today, with major deviations from the status quo (i.e. June being the likely start date of the cutting cycle) unlikely.
  • A reminder that the next ECB decision comes on April 11.
  • German labour market statistics headline the regional data calendar during the remainder of today.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Apr-243.888-1.8
Jun-243.669-23.7
Jul-243.516-39.0
Sep-243.320-58.6
Oct-243.180-72.6
Dec-243.006-90.0
Jan-252.883-102.3
Mar-252.740-116.6
Source: MNI/Bloomberg