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Dovish Impulses Hold Into ECB Decision

STIR

ECB-dated OIS heads into the meeting little changed to 20bp lower on the day through ’24 contracts, with dovish Fed impetus in the driving seat thus far. That leaves markets pricing over 80% odds of the first 25bp cut come the end of the Mar ’24 meeting, while ~157bp of cuts are priced through ’24 in total, a little shy of dovish session extremes.

  • With no change expected in rates and the hiking cycle seemingly finished, barring any “surprises” in the future, focus will fall on the updated macroeconomic projections, any PEPP QT discussion and any pushback re: market pricing of easing.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Dec-233.904-0.1
Jan-243.875-3.1
Mar-243.702-20.3
Apr-243.447-45.9
Jun-243.133-77.2
Jul-242.870-103.5
Sep-242.657-124.8
Oct-242.486-141.9
Dec-242.331-157.4
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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