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ECB Rate Cut Pricing Close To Pre-PMI Levels Ahead Of ECB

STIR

Ahead of today's decision, ECB-dated OIS contracts price 129bps of rate cuts through 2024, fading the initial dovish reaction post flash PMIs yesterday (where up to 137bps of rate cuts were priced at one point). The Euribor strip is -0.5 to -2.0 ticks vs yesterday's settlement levels after coming under some pressure in recent trade.

  • The ECB decision is at 1315GMT/1415 CET, followed by the press conference at 1345GMT/1445CCET, with no changes in policy rates expected or priced in.
  • President Lagarde will likely use the press conference to push back against market expectations of policy rate cuts in the near-term, while also entertaining the possibility of easing policy later in the year.
  • Our full preview can be found here.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jan-243.9070.20
Mar-243.874-3.1
Apr-243.750-15.5
Jun-243.471-43.4
Jul-243.228-67.7
Sep-242.984-92.1
Oct-242.798-110.7
Dec-242.612-129.3
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