Year-end ECB implied cut pricing is little changed this morning, though dovish adjustments have been seen further out the curve. ERZ5 is +4.0 ticks higher versus yesterday’s settlement at 98.100, following wider core FI higher after last night’s US presidential debate.
- Vice President Harris was deemed the winner of the debate, prompting an unwind of “Trump trades” centred around reflation and fiscal easing.
- ERZ5 and ERZ6 have risen for the last 7 sessions, and further upside would see a test of the Jan 4 highs.
- ECB-dated OIS price 62bps of easing through year-end, and fully discount a 25bp cut at tomorrow’s meeting.
- Current pricing remains a little more aggressive than the apparent ECB base case of quarterly cuts.
- Our ECB preview is here.
- Today’s regional calendar is light, leaving focus on the US CPI report this afternoon.
| Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Effective ESTR Rate (bp) |
| Sep-24 | 3.416 | -24.9 |
| Oct-24 | 3.321 | -34.4 |
| Dec-24 | 3.040 | -62.5 |
| Jan-25 | 2.785 | -87.9 |
| Mar-25 | 2.454 | -121.1 |
| Apr-25 | 2.231 | -143.4 |
| Jun-25 | 2.030 | -163.4 |
| Jul-25 | 1.947 | -171.7 |
| Source: MNI/Bloomberg. | ||
