STIR: OIS Price 60% Implied Probability of October ECB Cut

ECB-dated OIS price 14bps of cuts through the October meeting (~60% implied probability of a 25bp cut), with the dovish repricing following yesterday’s weak flash PMIs extending through the European morning.

• OIS had been pricing 5bps of cuts through October prior to the PMIs, and 10bps at yesterday’s close.
• ECB’s Muller did not rule out an October cut in an interview with Bloomberg, but echoed previous remarks from Vice President de Guindos that much more data will be available at the December meeting.
• Meanwhile, the MNI Policy Team’s latest interview also suggested an October cut was unlikely.
• OIS price 47bps of easing through year-end (vs 43bps at yesterday’s close) and 143bps through the ECB’s June 2025 meeting (vs 141bps yesterday).
• Euribor futures are +5.0 (ERZ4) to +1.0 (ERH8-U8) ticks through the blues, with the strip steepening.