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Just Over 100bps Of ECB Cuts Priced Through 2024

STIR

ECB-dated OIS contracts current price 104bps of cuts through 2024, broadly steady vs Friday's close but well-off late-December '23 dovish extremes of almost 170bps. The first full 25bp cut is more than fully priced through the June meeting (31bps priced).

  • There was little in the way of ECB-speak over the weekend, after last week's rhetoric generally pushed back on the idea of a hasty start to the easing cycle. A reminder that Maltese CB Governor Scicluna was the dovish outlier, after expressing openness to a March rate cut.
  • Our latest ECB sources piece (published last week) noted that Governing Council expectations "for rate cuts this year currently range between 50 and 100 basis points in 25bp steps, with more dovish members looking for an earlier start but the largest bloc coalescing around a June commencement for easing and then lowering the deposit rate twice more."
  • The Euribor strip is broadly unchanged vs Friday's settlement levels, with contracts flat to -1.0 tick through the Blues.
  • As noted above, today's regional docket is light, with tomorrow’s ECB negotiated wage data presenting the most immediate scheduled risk event of note.
  • Later this week, we also receive flash February PMIs and final January HICP (both Thursday).

Meeting Date ESTR ECB-Dated OIS (%)Difference Vs. Current Effective ESTR Rate (bp)
Mar-243.905-0.4
Apr-243.810-9.9
Jun-243.599-31.1
Jul-243.424-48.5
Sep-243.219-69.0
Oct-243.046-86.3
Dec-242.867-104.2
Jan-252.720-118.9
Source: MNI/Bloomberg

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