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Further Moderation Of 2024 ECB Cut Pricing On US Data

STIR

The strong US retail sales print sees a further moderation in the degree of rate cuts priced into ECB-dated OIS, with 138bps of easing priced through 2024 at typing (vs. a post-data extreme of 136bps and vs. 140bps earlier this morning).

  • The remainder of today's ECB-speak is unlikely to move the needle further, with Lagarde (scheduled at 1515GMT) and Nagel (1830GMT) already having spoken in recent days.
  • The Euribor strip is off post-data lows, but remains -4.5 to -9.0 ticks, with Whites/Reds under the most pressure.

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Jan-243.9040.00
Mar-243.861-4.3
Apr-243.702-20.2
Jun-243.413-49.1
Jul-243.157-74.8
Sep-242.909-99.5
Oct-242.716-118.8
Dec-242.527-137.7
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