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Hawkish Move In EUR STIR On CPI, ~57bp Of '24 ECB Cuts Priced

STIR
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The early hawkish move in EUR STIRs extends as the upside risks to the Eurozone CPI data crystalise (see earlier data reaction bullet for greater details), before a slight moderation from knee-jerk extremes.

  • Euribor futures are 1.0-4.5bp softer on the day.
  • While immediate ECB meeting pricing is little changed (~24bp of easing showing for June & ~27bp for July), December ECB pricing now shows ~57bp of cuts after briefly touching ~55bp of cuts post-data.
  • That leaves ~4bp fewer cuts priced through year end when compared to yesterday’s close.
  • Zooming out, year-end ECB pricing is moving back towards the May extremes, which protects the late Feb ’24 hawkish extreme.
  • The idea of back-to-back ECB rate cuts has lost steam with most of the recent rounds of ECB-speak playing down the need to pre-commit to such action.
  • This data further plays into the recent market.
  • Various MNI policy team pieces and this week's MNI Connect event with ECB GC member Kazaks have already contributed to this narrative.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Jun-243.678-23.2
Jul-243.651-26.0
Sep-243.506-40.5
Oct-243.456-45.5
Dec-243.342-56.8
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The early hawkish move in EUR STIRs extends as the upside risks to the Eurozone CPI data crystalise (see earlier data reaction bullet for greater details), before a slight moderation from knee-jerk extremes.

  • Euribor futures are 1.0-4.5bp softer on the day.
  • While immediate ECB meeting pricing is little changed (~24bp of easing showing for June & ~27bp for July), December ECB pricing now shows ~57bp of cuts after briefly touching ~55bp of cuts post-data.
  • That leaves ~4bp fewer cuts priced through year end when compared to yesterday’s close.
  • Zooming out, year-end ECB pricing is moving back towards the May extremes, which protects the late Feb ’24 hawkish extreme.
  • The idea of back-to-back ECB rate cuts has lost steam with most of the recent rounds of ECB-speak playing down the need to pre-commit to such action.
  • This data further plays into the recent market.
  • Various MNI policy team pieces and this week's MNI Connect event with ECB GC member Kazaks have already contributed to this narrative.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Jun-243.678-23.2
Jul-243.651-26.0
Sep-243.506-40.5
Oct-243.456-45.5
Dec-243.342-56.8