STIR
Initial market reaction to the ECB’s widely expected cut is hawkish, with the ECB not pre-committing to further cuts, underscoring its data dependent approach.
- ’24 and ’25 CPI inflation forecasts were marked higher, topping the median of sell-side forecasts that we saw ahead of the event by 0.1ppt, which also helps explain the hawkish move.
- Euribor futures are 1.0-8.0bp lower, just off post-ECB session lows.
- ECB implied rates are little changed to ~5bp above the levels we flagged ahead of the meeting, still showing very slim odds of a follow up cut in July.
- A follow up cut through October is now only ~85% priced, after being fully discounted in the lead up to the decision.
| ECB Meeting | €STR ECB-Dated OIS (%) | Difference Vs. Current Cut Adjusted Effective €STR Rate (bp) |
| Jun-24 | 3.667 | +0.4 |
| Jul-24 | 3.648 | -1.5 |
| Sep-24 | 3.501 | -16.3 |
| Oct-24 | 3.451 | -21.2 |
| Dec-24 | 3.306 | -35.7 |
| Jan-25 | 3.239 | -42.5 |
| Mar-25 | 3.137 | -52.6 |
| Apr-25 | 3.073 | -59.1 |
Source: MNI/Bloomberg. 2025 dates are estimated.
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