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NFPs & ECB's Nagel Help Remove Some ECB Rate Cut Pricing

STIR

Euribor futures and ECB-dated OIS have extended on their early moves, aided by the U.S. NFP release and predictably hawkish comments from ECB Governing Council member Nagel (he noted that it is too soon for rate cuts and suggested that a soft economic landing for the Eurozone is possible).

  • That leaves Euribor futures running 6.0-18.0bp lower through the blues, with the late whites under the most pressure.
  • ECB-dated OIS runs 2.0-14.5bp firmer on the day, with 17bp of easing now pred through April & 131bp of cuts seen for ’24 on the whole.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Mar-243.874-3.1
Apr-243.734-17.1
Jun-243.480-42.5
Jul-243.246-65.9
Sep-242.993-91.2
Oct-242.796-110.9
Dec-242.595-131.0
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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