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ECB-dated OIS Contracts Pull Back Rate Cuts Further Post US IJC

STIR

The lower-than-expected US jobless claims data sees ECB-dated OIS contracts price 137bps of easing through 2024 (vs 138bps this morning and an intraday dovish extreme of 141bps).

  • The Euribor strip is -1.5 to +1.5 ticks vs yesterday's settlement levels.
  • A reminder that the ECB's December meeting accounts were not market mover, but showed GC concerns over the loosening of financial conditions in the run-up to the gathering and made no mention of the timing of rate cuts.
  • Lagarde is scheduled to speak on a panel on "Uniting Europe's Markets" at 1515 GMT /1615 CET (though major deviations from yesterday's rhetoric are not expected).

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jan-243.9050.10
Mar-243.860-4.4
Apr-243.716-18.8
Jun-243.430-47.4
Jul-243.169-73.5
Sep-242.919-98.5
Oct-242.722-118.2
Dec-242.532-137.2

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