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8bps Pullback In ECB/BoE 2024 Rate Cut Expectations

STIR

ECB- and BoE-dated OIS contracts have seen a marked repricing following the firmer than expected US CPI data, headlined by a 0.85% M/M supercore reading.

  • There are now just 113bps of ECB cuts priced through 2024 (vs 121bps pre-data), the least since the end of November '23. Nearer-term meetings see smaller moves, with 13bps priced through the April meeting (vs 16bps pre-data) and 35bps priced through June (vs 39bps pre-data).
  • BoE-dated OIS show 66bps of cuts priced through 2024 (vs 74bps pre-US data and 78bp pre-UK labour market data), with the first full 25ps cut now no longer fully priced through the August meeting: 24bps priced vs 29bps pre-US CPI data.

Figure 1. ESTR ECB-dated OIS Pricing


Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.894-1.5
Apr-243.777-13.2
Jun-243.560-34.9
Jul-243.377-53.2
Sep-243.149-76.0
Oct-242.966-94.3
Dec-242.781-112.8
Jan-252.635-127.4
Source: MNI/Bloomberg

Figure 2: SONIA BoE-dated OIS Pricing


Meeting DateSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Mar-245.1910.3
May-245.144-4.4
Jun-245.076-11.2
Aug-244.947-24.2
Sep-244.826-36.2
Nov-244.655-53.3
Dec-244.530-65.8
Feb-254.386-80.2
Source: MNI/Bloomberg

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