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FOMC Mins & Initial European CPI Prints Help Bias ECB Pricing In A Dovish Direction

STIR

Impulses from Wednesday’s U.S. Fed meeting minutes, alongside this morning's German NRW & flash French inflation data, allow ECB rate cut pricing to move back towards dovish extremes seen at the back end of last year.

  • ECB-dated OIS contracts now price just over 166bps of rate cuts through 2024, with around 17bps priced through the March meeting.
  • Euribor futures run 2.5-4.5 ticks firmer through the blues.
  • Today's regional docket is heavy, with additional German state inflation readings and services PMIs (some of which are final releases) due out of the Eurozone.
Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jan-243.887-1.70
Mar-243.736-16.8
Apr-243.490-41.4
Jun-243.174-73.0
Jul-242.888-101.7
Sep-242.634-127.0
Oct-242.430-147.4
Dec-242.240-166.4

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