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140bps of Cuts Priced Through 2024 Post ECB Presser

STIR

ECB-dated OIS contracts now price 140bps of rate cuts through 2024, up from 129bps pre-ECB decision. The Euribor strip has faded a touch from its best levels, but contracts remain +3.5 to +9.0 ticks through the Blues, with the back of the Whites/Reds outperforming.

  • As noted above, markets have viewed Lagarde's comments as fairly dovish, at least in contrast to the strong pushback vs rate cut pricing seen from ECB-speakers in the weeks leading up to today's meeting.
  • In particular, Lagarde did not assign as much importance to the Q1 wage/national accounts data as some may have feared, noting that "we are looking at all data, not just wages".
  • This, alongside notes that the ECB will have an updated set of macroeconomic projections and two more inflation prints by the March meeting, allowed markets to bring forward expectations for rate cuts. Contracts now price 20bps of easing through the April gathering, up from 15bps pre-decision.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.861-4.4
Apr-243.703-20.2
Jun-243.400-50.5
Jul-243.141-76.4
Sep-242.885-102.1
Oct-242.694-121.1
Dec-242.508-139.7
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