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ECB Implied Rates Remain Within Recent Ranges After Speakers

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ECB-dated OIS implied rates rose a touch following comments from the hawkish Holzmann and Wunsch, but remain within recent ranges.

  • Holzmann unsurprisingly sees little reason to “cut rates too much too quickly”, specifically noting that the July ECB meeting will not feature updated forecasts (implying he would be unlikely to support a move at that gathering).
  • Elsewhere, Wunsch aligned somewhat more with the status quo by not committing to “a preset course of action” beyond the June meeting. This sentiment aligns with his comments to the MNI Policy Team in April (see here)
  • Both members cited the risks posed by the Fed and the US dollar.
  • OIS contracts price 23bps of cuts through the June meeting and 29bps through the July gathering (i.e. just 6bps of sequential easing priced through July). 71bps of easing are priced through the end of 2024.
  • Tomorrow sees comments from ECB’s Vujcic, Cipollone and Guindos, though only the latter appears pertinent to current ECB policy. The BoE decision will also garner cross market interest.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jun-243.680-22.6
Jul-243.611-29.5
Sep-243.422-48.5
Oct-243.345-56.1
Dec-243.193-71.3
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ECB-dated OIS implied rates rose a touch following comments from the hawkish Holzmann and Wunsch, but remain within recent ranges.

  • Holzmann unsurprisingly sees little reason to “cut rates too much too quickly”, specifically noting that the July ECB meeting will not feature updated forecasts (implying he would be unlikely to support a move at that gathering).
  • Elsewhere, Wunsch aligned somewhat more with the status quo by not committing to “a preset course of action” beyond the June meeting. This sentiment aligns with his comments to the MNI Policy Team in April (see here)
  • Both members cited the risks posed by the Fed and the US dollar.
  • OIS contracts price 23bps of cuts through the June meeting and 29bps through the July gathering (i.e. just 6bps of sequential easing priced through July). 71bps of easing are priced through the end of 2024.
  • Tomorrow sees comments from ECB’s Vujcic, Cipollone and Guindos, though only the latter appears pertinent to current ECB policy. The BoE decision will also garner cross market interest.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jun-243.680-22.6
Jul-243.611-29.5
Sep-243.422-48.5
Oct-243.345-56.1
Dec-243.193-71.3