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ECB and BoE Implied Rates Drift Lower Pre US CPI

STIR

The recovery of core EGBs/Gilts from post-UK data lows was mirrored in STIR markets, though Euribor still outperforms SONIA counterparts.

  • The Euribor strip is +1.5 to +4.0 ticks through the Blues, with SONIA -3.5 to +0.5 (back of the Whites under the most pressure).
  • ECB- and BoE-dated OIS implied rates have drifted away from hawkish extremes. There are now 121bps of ECB rate cuts priced through 2024 (vs an intraday hawkish extreme of 117bps post-UK data) and 74bps of BoE cuts (vs an intraday hawkish extreme of 69bps at the 0730GMT open).

Figure 1. ESTR ECB-dated OIS Pricing


Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.888-2.1
Apr-243.752-15.7
Jun-243.519-39.0
Jul-243.305-60.4
Sep-243.070-83.9
Oct-242.889-102.0
Dec-242.700-120.9
Jan-252.555-135.4
Source: MNI/Bloomberg

Figure 2: SONIA BoE-dated OIS Pricing


Meeting DateSONIA BoE-Dated OIS (%)Difference Vs. Current Effective SONIA Rate (bp)
Mar-245.1910.2
May-245.135-5.3
Jun-245.051-13.7
Aug-244.902-28.7
Sep-244.760-42.8
Nov-244.580-60.8
Dec-244.445-74.3
Feb-254.299-88.9
Source: MNI/Bloomberg

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