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129bps of ECB Cuts Priced Through 2024 Ahead Of January Decision

STIR

ECB-dated OIS contracts price 129bps of rate cuts through 2024 ahead of the ECB decision at 1315GMT/1415CET. The Euribor strip trades close to its weakest intraday levels, currently -0.5 to -2.0 ticks through the Blues.

  • No change in policy rate is expected at today's meeting, and there is just 3bps of easing priced for the next meeting in March. At its dovish extreme in late December, there were around 17bps of cuts priced through the March meeting.
  • The first full 25bp cut is fully priced through the June meeting (42bps of cuts priced), while there are 15bps of cuts priced through the April gathering (~60% chance of a 25bp hike).

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jan-243.9070.20
Mar-243.877-2.8
Apr-243.757-14.9
Jun-243.481-42.4
Jul-243.241-66.4
Sep-242.992-91.4
Oct-242.803-110.2
Dec-242.616-128.9
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