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ECB Pricing a Little Less Dovish Post-NFPs, Swift Cutting Cycle Still Seen

STIR

The degree of easing priced into ECB-dated OIS moderates in the wake of the U.S. NFP print, but sits a little back from post-data extremes.

  • That leaves ECB-dated contracts covering ’24 decisions running flat to 8bp firmer on the day
  • The first 25bp cut is more than fully priced come the end of the Apr '23 ECB decision, with ~136bp of cuts currently showing through '24 on the whole.
ECB Meeting€STR ECB-Dated OIS (%)Difference Vs. Current Effective €STR Rate (bp)
Dec-233.905+0.2
Jan-243.888-1.5
Mar-243.739-16.4
Apr-233.532-37.1
Jun-243.266-63.7
Jul-243.055-84.8
Sep-242.855-104.8
Oct-242.694-120.9
Dec-242.540-136.3
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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