May 29, 2024 12:19 GMT
STIR: Euribor Futures Dip Briefly Around German CPI, 59bps of ECB Cuts Priced
STIR
Euribor futures dipped lower before stabilising as German May flash HICP printed a tenth higher than consensus at 2.8% Y/Y (vs 2.4% prior). Contracts are flat to -6.5 through the blues at typing.
• ERZ4 did not test today’s low 96.595 around the data, currently -3.0 ticks at 96.605.
• ECB-dated OIS show 59bps of cuts through the remainder of ’24, back in line with this morning’s levels.
Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Effective ESTR Rate (bp) |
Jun-24 | 3.676 | -23.3 |
Jul-24 | 3.645 | -26.4 |
Sep-24 | 3.493 | -41.6 |
Oct-24 | 3.437 | -47.2 |
Dec-24 | 3.318 | -59.1 |
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