STIR: Effective Fed Funds Rate
Jan-03 13:59
FRBNY EFFR for prior session:
- Daily Effective Fed Funds Rate: 4.33% (+0.00), volume: $106B
- Daily Overnight Bank Funding Rate: 4.33% (+0.00), volume: $264B
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US TSYS: US Tnotes is finding support ahead of 4.30%
Dec-04 13:41
- US Tnotes seems to be finding some support just ahead of the next Yield level area of 4.30%, so far printed a 4.2750% high.
- The 4.30% level in Yield would equate to circa 110.14 today.
- The small bid in Futures, helps the USDJPY lower, with some downside traction going through in the cross.
ECB: Few Surprises From Lagarde, 10% Implied Probability of 50bp Dec Cut
Dec-04 13:38
There weren’t any major surprises in ECB President Lagarde’s prepared remarks before the EU Parliament. She said the ECB would review its monetary policy stance at next week’s meeting, emphasising the familiar “data-dependent and meeting-by-meeting approach”.
- She notes that the “medium-term economic outlook is uncertain, however, and dominated by downside risks”.
- The potential of increased trade barriers following the US election is one element here: “High degrees of trade openness and integration into global supply chains make the euro area vulnerable to foreign shocks, with potential trade barriers posing threats to manufacturing and investment”.
- We note that she does not discuss the potential inflationary impact of trade barriers in the event of tariff realisation (as has been pointed out by more hawkish policymakers at the ECB).
- The implied probability of a 50bp ECB cut next week has fallen to ~10%, which should keep primary focus on any tweaks to the bank’s guidance.
| Meeting Date | ESTR ECB-Dated OIS (%) | Difference Vs. Current Effective ESTR Rate (bp) |
| Dec-24 | 2.899 | -26.5 |
| Jan-25 | 2.578 | -58.7 |
| Mar-25 | 2.253 | -91.1 |
| Apr-25 | 2.004 | -116.0 |
| Jun-25 | 1.807 | -135.7 |
| Jul-25 | 1.708 | -145.6 |
| Sep-25 | 1.659 | -150.5 |
| Oct-25 | 1.639 | -152.5 |
| Dec-25 | 1.619 | -154.5 |
| Source: MNI/Bloomberg. | ||
STIR: Fed Pricing Little Changed On ADP Data
Dec-04 13:35
Fed pricing little changed in the wake of the ADP release, with the modest headline miss, tenuous short-term correlation to NFPs and recent labour market sensitivity to weather conditions likely limiting the market reaction.
- Fed Funds futures price 18.5bp of cuts for this month, 24.5bp through Jan, 38.5bp through March, 57.5bp through June and 79bp through Dec ’25.
- That compares to 18.5bp, 24.5bp, 39bp, 58bp and 79.5bp ahead of the data.
