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ECB-dated OIS Re-price 2024 Cuts Following US CPI

STIR

ECB-dated OIS contracts re-price 2024 cuts following the soft US CPI release.

  • The ECB-dated OIS strip is now little changed to 10bps softer on the day, with the December 2024 contract now showing around 94bps of cuts vs the current ESTR effective rate once again (after cut pricing had been paring back over the last week).
  • The Euribor strip now bull flattens on the day, sitting +1.5 to +9.0 ticks higher in the Whites and +12 to +13 ticks higher in the Blues.

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